Financial statistics (2014/2015)

Course code
4S00489
Name of lecturer
Luigi Grossi
Coordinator
Luigi Grossi
Number of ECTS credits allocated
9
Academic sector
SECS-S/03 - ECONOMIC STATISTICS
Language of instruction
Italian
Location
VERONA
Period
primo semestre dal Sep 15, 2014 al Jan 9, 2015.

Lesson timetable

Learning outcomes

The goal of the course is to introduce student in modern econometric and time series tools for analyzing and modeling of quantitative financial information.
The course provides students with theoretical and practical knowledge of the statistical and computational skills needed for the creation, implementation, and evaluation of the time series models used by the financial sector to manage risk and develop investment strategies.

Syllabus

1. Prices and stock indexes

2. Stylized facts of financial returns

3. Linear and non-linear models for financial returns

4. Volatility models

5. Elements of forecasting


Suggested textbooks
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2002.
- Bee M., Santi F., Finanza Quantitativa con R, Apogeo, 2013


Types of classes: lectures, seminars and exercises

Assessment methods and criteria

Written exam. Oral exam is optional.