2016/2017

2017/2018

DM270

SECS-P/05 (ECONOMETRIA)

DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI

ECONOMICS, FINANCE AND INTERNATIONAL INTEGRATION - ECONOMIA, FINANZA E INTEGRAZIONE INTERNAZIONALE

Finance

2°

Primo Semestre (25/09/2017 - 22/12/2017)

9

66 ore di attività frontale

English

SCRITTO

ROSSI EDUARDO (titolare) - 7 CFU
FANTAZZINI DEAN - 2 CFU

=Econometrics and Statistics

This course examines models and econometric techniques used to study time series data in economics and finance. The specific objective of the course is to equip students with the tools they need for the specification and estimation of econometric models with financial data. The course also lays out the econometric models and methods used in modeling and forecasting of volatility of financial returns.

Introduction to MATLAB

1.Finite difference equations. Solutions and stability. Stationarity and
ergodicity
2. ARMA models: Stationarity, invertibility, forecasting
3. Maximum likelihood estimation of ARMA models
4. VAR: representation and estimation
5. Stochastic trends and deterministic trends
Test per radici unitarie
6. Kalman filter
7. Cointegration
8. The instrumental variables estimator
9. Generalized method of moments (GMM)

Empirical asset pricing models
2. Volatility of financial returns: models, estimation, forecasting
(a) Introduction
(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

=Frontal lessons

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.

=written exam

=written exam