2017/2018

2018/2019

DM270

SECS-P/05 (ECONOMETRICS)

DEPARTMENT OF ECONOMICS AND MANAGEMENT

ECONOMICS, FINANCE AND INTERNATIONAL INTEGRATION

Finance

2°

1st semester (24/09/2018 - 21/12/2018)

9

66 lesson hours

English

WRITTEN TEST

ROSSI EDUARDO (titolare) - 7 ECTS
SANTUCCI DE MAGISTRIS PAOLO - 2 ECTS

The course is meant to deepen the technical knowledge of the econometric mehods used in the analysis of financial markets. Neccessary prerequisites are Econometrics and Statistics

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.

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