Risorse bibliografiche
Risorsa bibliografica obbligatoria
Risorsa bibliografica facoltativa
Scheda Riassuntiva
Anno Accademico 2017/2018
Scuola Scuola di Ingegneria Industriale e dell'Informazione
Insegnamento 097387 - FINANCIAL ECONOMETRICS
Cfu 5.00 Tipo insegnamento Monodisciplinare
Docente Mosconi Rocco Roberto

Corso di Studi Codice Piano di Studio preventivamente approvato Da (compreso) A (escluso) Insegnamento

Programma dettagliato e risultati di apprendimento attesi


The course introduces students to modern financial econometrics, providing them with appropriate techniques for empirical investigation in finance. The emphasis will be on understanding and applying a set of econometric tools that are widely used by academics and practitioners working in quantitative areas such as risk management, investment management, and financial engineering (although most of the techniques are widely used also in empirical macro and monetary economics). After a quick review of the multiple linear regression model, the course will illustrate univariate and multivariate models for time series analysis and forecasting. The analysis of non-stationary time series will be discussed, illustrating the theoretical and empirical relevance of the notion of integration and cointegration. The course also covers dynamic models for volatility analysis (ARCH and GARCH models) and one topic, possibly varied from year to year (event studies, Markov switching models, Factor models, ...). Providing the students with the ability to use the models is one of the goals: to this aim, problem sets with both analytical and computer-exercise components will be a relevant part of the course.

Course objectives

This course will be useful to students who plan to take empirically oriented finance courses as well as students who want to get a solid understanding of the tools required to analyze and model financial asset prices and, more generally, economic time series related to any field of economics and management. The link between new statistical models and implementation is emphasized throughout.

Main topics

  • Refresher on the linear multiple regression model: estimation through Ordinary Least Squares, checking assumptions (functional form, multicollinearity, heteroskedasticity, autocorrelation, non-normality)
  • Univariate analysis of time series: Stochastic processes and their properties. AR, MA and ARMA models. Analysis of trend, cycle and seasonality.
  • Multivariate analysis of time series: ARX models and VAR models
  • Analysis of nonstationary univariate and multivariate time series: integration and cointegration
  • Models for the analysis of volatility: ARCH and GARCH models.
  • One of the following topics: Event studies, econometric aspects of the CAPM, econometrics  of the efficient frontier, econometrics of derivatives, analysis of ultra-high frequency financial data, long memory processes, Markov switching models, ... The topic will be chosen at the beginning of the course. Students willing to deepen autonomously, for some reason, a different topic instead of the chosen one, may propose it.

Course organization

Organization: The lectures (36 hours) will introduce and explain the theoretical concepts; the practice sessions (6 hours) will be used to discuss and solve exercises; the computer lab sessions (12 hours) will be used to analyze cases, using suitable econometric software. The cases will be distributed a few days in advance, in order to encourage active participation of the students.

Note Sulla Modalità di valutazione

(i) Written exam (1+½ hours, weight 60%); the first part of the written exam may be taken as a midterm exam. (ii) Short oral exam (15 minutes, weight 40%) (iii) Non-compulsory team project work  (2 students): a paper about 10/15 pages long, where some of the techniques illustrated in the course is applied to a real problem; the paper has to be illustrated in a 30 minutes presentation, possibly via skype; the project work may increase the final mark by at most 2/30

Risorsa bibliografica obbligatoriaGreene W.H., Econometric Analysis, 7th Edition (selected chapters), Editore: Pearson

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Informazioni in lingua inglese a supporto dell'internazionalizzazione
Insegnamento erogato in lingua Inglese
schedaincarico v. 1.9.1 / 1.9.1
Area Servizi ICT