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.
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
| Author | Title | Publisher | Year | ISBN | Note |
| GALLO M.-PACINI B. | Metodi quantitativi per i mercati finanziari | Carocci editore | 2002 | 8843023063 |
Written exam. Oral exam is optional.
