SECS-S/06 (METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE)
DIPARTIMENTO DI MATEMATICA 'FELICE CASORATI'
Corso di studio
Primo Semestre (01/10/2020 - 20/01/2021)
44 ore di attività frontale
The course is meant to deepen the technical knowledge of the econometric mehods used in the analysis of financial markets. Neccessary prerequisites are econometrics, statistics and mathematical finance.
The objective of this course is to provide a comprehensive and systematic account of financial econometric models and their applications to modeling and prediction of financial time series data, focusing on asset returns and volatilities. The students will learn the analytical tools needed for the specification and estimation of econometric models with financial data. Students at the end of the course will have a working knowledge of financial time series data and gain expertise in the software to conduct the analyses.
Programma e contenuti
Introduction to MATLAB
1.Finite difference equations. Solutions and stability. Stationarity and
2. ARMA models: Stationarity, invertibility, forecasting
3. Maximum likelihood estimation of ARMA models
4. VAR: representation and estimation
5. Stochastic trends and deterministic trends. Unit root testing
2. Empirical asset pricing models: Generalized method of moments (GMM)
3. Volatility of financial returns: models, estimation, forecasting
(b) Univariate GARCH models (T, 8,9,10)
(c) Multivariate GARCH models
(d) Stochastic volatility models
(e) Nonparametric estimation of volatility with high-frequency data
Testi di riferimento
Hamilton J. (1994), Time Series Analysis, Princenton University Press.
Taylor S.J. (2005) Asset Prices Dynamics, volatility, and prediction, Princenton University Press.
Singleton K. (2006) Empirical Dynamic Asset Pricing, Princenton University Press.
Modalità verifica apprendimento
Obiettivi Agenda 2030 per lo sviluppo sostenibile