- Docente: Giuseppe Cavaliere
- Credits: 10
- SSD: SECS-P/05
- Language: Italian
- Moduli: Giuseppe Cavaliere (Modulo 1) Giuseppe Cavaliere (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Bologna
- Corso: First cycle degree programme (L) in Statistic, Business and Markets (cod. 0003)
Learning outcomes
The course provides the basic econometric tools for analyzing and measuring risk in financial markets, for forecasting financial variables and for portfolio decision making.
Course contents
Statistical properties of prices and returns. The random walk model and the efficient market hypothesis. Dependence and nonlinearities in returns. Long run regressions and the price-fundamentals relation. Fat tails and the existence of moments. Volatility, leverage effect and news impact. Long memory in financial markets.
Econometric models for prices and returns. Modeling conditional heteroskedasticity: ARCH models. Extensions: GARCH, exponential GARCH, asymmetric GARCH and GARCH “in mean”. Estimation, testing and specification analysis. News impact curve. forecasting volatility.
Econometric models for measuring risk. the Value-at-Risk (VaR). Estimating the VaR: J.P. Morgan's “Risk metrics”. Econometric methods for VaR estimation: GARCH models. Monte Carlo methods and historical simulation.
Readings/Bibliography
Campbell, J.Y., Lo, A. and A.C. MacKinley (1997), THE ECONOMETRICS
OF FINANCIAL MARKETS, Princeton University Press.
Teaching methods
All topics are illustrated with financial data using some econometric and statistical packages.
Assessment methods
Oral exam
Teaching tools
Computer laboratory
Links to further information
http://www2.stat.unibo.it/cavaliere
Office hours
See the website of Giuseppe Cavaliere