27449 - Financial Econometrics (A. C.)

Learning outcomes

At the end of the course the student deals with the economeric analysis of the main models of asset pricing and the univariate amd multivariate time-series models typically used in finance.
The use of econometric packages and applied work is encouraged.

Course contents

The course provides the main concepts and tools used in financial econometrics to investigate the financial system and the functioning of monetary, financial and stock markets

The course is divided into to interrelated parts:

PART 1:  Analysis of financial returns

PART 2: Analysis of risk.

 

Analysis of returns

Basic finance theory, choices and uncertaninty

Intertemporal choices, risk aversion and trade-off between consumption and saving decisions.

Modelli Present-Value per i prezzi delle attività finanziarie

Present value models of financial asset prices.

General and partial equilibrium models.

Asset pricing models of neoclassical economy.

Estimation of asset pricing models (minimum distance, maximum likelihood and generalized method of moments)

Dynamic models for financial asset returns: specification, estimation and inference.

Behavioural finance models.

Arbitrage theories.

Efficient markets: theory and tests.

Forecasting and trading models.

 

Analysis of risk

Measures of risk.

Time-series approach to financial risk analysis.

Dynamic models for conditional volatility: ARCH and GARCH models and their applications.

Econometric approach to VaR calculation.

Elements of Extreme Value Theory.

Readings/Bibliography

PART 1

 

GARDINI, CAVALIERE FANELLI COSTA PARUOLO, Econometria, VOL I .

CUTHBERTSON E NITZSCHE, Economia finanziaria quantitativa.

N. Linciano, Errori cognitivi e instabilità delle preferenze nelle scelte d'investimento, Quaderno CONSOB, gennaio 2010.

 

PART 2

CAMPBELL, J.Y., LO, A.W., MacKINLAY (1997), The econometrics of financial markets, Princeton University Press.

TSAY (2002) Analysis of Financial Time Series, Wiley

MATERIAL FREELY AVAILABLE ONLINE PROVIDED BY THE THEACHER.

Teaching methods

Theoretical lessons and empirical case studies at the lab.

Assessment methods

Written and oral exam

Office hours

See the website of Luca Fanelli

See the website of Attilio Gardini