- Docente: Giovanni Angelini
- Credits: 10
- SSD: SECS-P/05
- Language: Italian
- Moduli: Giovanni Angelini (Modulo 1) Graziano Moramarco (Modulo 2)
- Teaching Mode: Traditional lectures Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Rimini
- Corso: First cycle degree programme (L) in Statistics, Finance and Insurance (cod. 5901)
-
from Sep 16, 2024 to Nov 20, 2024
-
from Nov 22, 2024 to Dec 06, 2024
Learning outcomes
At the end of this course, the student will know the key elements behind the quantitative analysis of financial markets. The student will be able to specify, estimate and interpret econometric models intended to explain the dynamics of prices, returns and volatility of financial assets. The student will also be able to carry out empirical analyses with econometric packages.
Course contents
1) Introduction:
- Statistical analysis of economic relationships.
- How to build an econometric model.
2) Linear regression model:
- OLS
- Estimation issues: classic and generalized model.
- Diagnostic analysis.
- Heteroskedasticity and autocorrelation.
3) Maximum likelihood estimator.
4) ARMA models.
5) Models for conditional volatility.
6) Endogeneity and instrumental variables.
Readings/Bibliography
Teachers will also provide their own teaching materials made available on IOL.
Reference books:
Marno Verbek, A Guide to Modern Econometrics
Ruey S Tsay, Analysis of Financial Time Series (only for point 5 of the program: Models for conditional volatility).
Teaching methods
Classes and labs using Matlab.
Assessment methods
The exam aims to verify thjat the student has achieved the following basic targets:
• knowledge of basic econometrics, in particular, the special features which characterize financial markets;
• the ability to apply the main theoretical concepts to modeling asset returns and their volatility.
The exam is written and a grade of the form xx/30 is given.
Students are supposed to do theoretical exercises but also discuss practical cases based on estimation outputs which refer to real markets.
Teaching tools
Econometric software: Matlab
Links to further information
https://sites.google.com/view/giovanni-angelini/
Office hours
See the website of Giovanni Angelini
See the website of Graziano Moramarco