Financial statistics (2016/2017)

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 Magistrali dal Sep 26, 2016 al Jan 13, 2017.

Lesson timetable

Learning outcomes

The goal of the course is to introduce students to the modern econometric and time series tools for analyzing and modeling financial returns and volatility.
The course provides students with theoretical and practical knowledge of the statistical and computational skills needed for the identification, estimation and test of stochastic processes used by the financial operators to manage risk and develop investment strategies.
At the end of the course, students will be able to critically compare the price dynamic of different assets and to estimate the parameters of the stochastic processes that captures the main stylized facts observed in the financial markets.

Syllabus

1. Prices and stock indexes

2. Stylized facts of financial returns

3. Linear and non-linear models for financial returns

4. Volatility models



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

Reference books
Author Title Publisher Year ISBN Note
GALLO M.-PACINI B. Metodi quantitativi per i mercati finanziari Carocci editore 2002 8843023063

Assessment methods and criteria

Written exam. Oral exam is optional.

STUDENT MODULE EVALUATION - 2016/2017