Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Academic calendar
The academic calendar shows the deadlines and scheduled events that are relevant to students, teaching and technical-administrative staff of the University. Public holidays and University closures are also indicated. The academic year normally begins on 1 October each year and ends on 30 September of the following year.
Course calendar
The Academic Calendar sets out the degree programme lecture and exam timetables, as well as the relevant university closure dates..
Period | From | To |
---|---|---|
primo semestre magistrali | Sep 30, 2019 | Dec 20, 2019 |
secondo semestre magistrali | Feb 24, 2020 | May 29, 2020 |
Session | From | To |
---|---|---|
Sessione invernale magistrali | Jan 7, 2020 | Feb 21, 2020 |
Sessione estiva magistrali | Jun 3, 2020 | Jul 10, 2020 |
Autumn Session exams | Aug 24, 2020 | Sep 11, 2020 |
Session | From | To |
---|---|---|
Autumn Session | Dec 2, 2019 | Dec 4, 2019 |
Winter Session | Apr 7, 2020 | Apr 9, 2020 |
Summer session | Sep 7, 2020 | Sep 9, 2020 |
Exam calendar
Exam dates and rounds are managed by the relevant Economics Teaching and Student Services Unit.
To view all the exam sessions available, please use the Exam dashboard on ESSE3.
If you forgot your login details or have problems logging in, please contact the relevant IT HelpDesk, or check the login details recovery web page.
Should you have any doubts or questions, please check the Enrollment FAQs
Academic staff
Study Plan
The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.
1° Year
Modules | Credits | TAF | SSD |
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2° Year activated in the A.Y. 2020/2021
Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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Modules | Credits | TAF | SSD |
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Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Financial econometrics (2019/2020)
Teaching code
4S00241
Teacher
Coordinator
Credits
9
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-P/05 - ECONOMETRICS
Period
primo semestre magistrali dal Sep 30, 2019 al Dec 20, 2019.
Learning outcomes
L'obiettivo di questo corso è fornire un'introduzione ai modelli econometrici per i mercati finanziari e alla loro applicazione alla modellazione e alla previsione dei dati di serie temporali finanziarie. Il corso si propone di introdurre all'analisi empirica di modelli finanziari (CAPM, Fama-French) e alla verifica empirica dell'efficienza di portafogli. Particolare attenzione sarà inoltre dedicata alla modellazione e previsione dei rendimenti e della volatilità, Al temine delle lezioni ci si attende che lo studente (a) abbia una solida conoscenza dei temi di base in econometria finanziaria; (b) conosca e sia in grado di utilizzare concetti e notazioni frequentemente utilizzati in ambito dell'analisi econometrica dei mercati finanziari; (c) sia in grado di condurre applicazioni empiriche di teoria finanziaria basate su dati finanziari utilizzando tecniche econometriche; (d) sia in grado di interpretare i risultati di applicazioni empiriche condotte da altri.
Program
1. Introduction
a. Econometrics
b. Statistics recap and introduction to the software
2. Optimal portfolio allocation
a. Mean-Variance criterion; Sharpe index
b. Efficient frontiera with and without risk-free asset; Tangency portfolio; Two-fund separation theorem
3. Ordinary Least Squares (OLS) model
a. Univariate and multivariate regressions; Marginal effects and elasticities; Goodness of fit of the model
b. Hypothesis testing: t and F tests, diagnostics
4. Market equilibrium
a. Capital Asset Pricing Model and empirical assessment
b. Multi-factor models; Fama-MacBeth tests
5. Portfolio tests
a. Return estimates (historical, equilibirum, implicit); Black-Litterman approach
b. Efficient portfolios; Robustness to return estimates; Efficiency test of Jobson-Korkie; Britten-Jones approach
6. Models for financial time series
a. AR, MA and ARMA models to estimate returns
b. ARCH and GARCH models to estimate volatilities
Lecture method: frontal teaching
Author | Title | Publishing house | Year | ISBN | Notes |
---|---|---|---|---|---|
Verbeek, M. | A Guide to Modern Econometrics | Wiley | 2000 | ||
Elton, E.J., Gruber, M.J., Brown, S.J., Goetzmann, W.N. | Teorie di Portafoglio e Analisi degli Investimenti | Apogeo | 2013 |
Examination Methods
The exam is made of one written essay and one individual homework; the final grade is given by the average of the grades in the essay and the homework, with 75% and 25% weights respectively. In order to pass the exam, it is necessary to obtain a grade not below 16/30 in the written essay.
The written essay is taken in a teaching room, lasts two hours and covers the whole program of the course. Use of handheld calculator, personal notes or other teaching material is not allowed.
The homework is developed individually outside the teaching rooms, and can be of two types (Homework I or Homework II). Each student can choose which type of homework to deliver, but must deliver one of them. Once the deadline for delivery of Homework I has expired, it is possible to deliver Homework II only. The homework grade remains valid throughout the academic year.
Homework I aims to develop analytical skills through personal data analysis.
Homework II aims to develop critical skills with respect to empirical applications.
During the summer session the written essay is held remotely and lasts one hour, with exercises in line with standard essays and with what seen in class. The final grade is still defined as the average between the written essay and the homework, with the written essay having a 75% weight.
Type D and Type F activities
years | Modules | TAF | Teacher | |
---|---|---|---|---|
2° | Simulation and Implementation of Economic Policies | D |
Federico Perali
(Coordinator)
|
|
1° 2° | Enactus Verona 2020 | D |
Paola Signori
(Coordinator)
|
|
1° 2° | Parlare in pubblico e economic writing | D |
Martina Menon
(Coordinator)
|
|
1° 2° | Samsung Innovation Camp | D |
Marco Minozzo
(Coordinator)
|
years | Modules | TAF | Teacher | |
---|---|---|---|---|
2° | Simulation and Implementation of Economic Policies | D |
Federico Perali
(Coordinator)
|
|
1° 2° | Predictive analytics for business decisions - 2019/20 | D |
Claudio Zoli
(Coordinator)
|
|
1° 2° | Professional communication for economics - 2019/20 | D |
Claudio Zoli
(Coordinator)
|
|
1° 2° | Parlare in pubblico e economic writing | D |
Martina Menon
(Coordinator)
|
|
1° 2° | Regulation, procurement and competition - 2019/20 | D |
Claudio Zoli
(Coordinator)
|
Career prospects
Module/Programme news
News for students
There you will find information, resources and services useful during your time at the University (Student’s exam record, your study plan on ESSE3, Distance Learning courses, university email account, office forms, administrative procedures, etc.). You can log into MyUnivr with your GIA login details: only in this way will you be able to receive notification of all the notices from your teachers and your secretariat via email and soon also via the Univr app.
Graduation
List of theses and work experience proposals
theses proposals | Research area |
---|---|
Tesi di laurea magistrale - Tecniche e problemi aperti nel credit scoring | Statistics - Foundational and philosophical topics |
Fattori ESG e valutazione d'azienda | Various topics |
Il metodo Monte Carlo per la valutazione di opzioni americane | Various topics |
Il Minimum Requirement for own funds and Eligible Liabilities (MREL) | Various topics |
L'acquisto di azioni proprie | Various topics |
Proposte Tesi A. Gnoatto | Various topics |