- Docente: Luca Fanelli
- Credits: 10
- SSD: SECS-P/05
- Language: Italian
- Moduli: Luca Fanelli (Modulo 1) Attilio Gardini (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Rimini
- Corso: Second cycle degree programme (LM) in Statistical, Financial and Actuarial Sciences (cod. 8613)
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)
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