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Financial Econometrics

Persone

Mancini L.

Docente titolare del corso

Ye Y.

Assistente

Descrizione

Building on the material acquired in a basic introductory course in econometrics, the aim of this course is to familiarize the student with some of the most popular econometric methods encountered in applied work in finance. After a brief review of the classical linear regression model, two main topics are considered:

  • Linear Factor Model for asset pricing
  • Likelihood Methods with applications to ARCH and GARCH models

Emphasis is placed on the basic understanding of each approach with computer applications on real data.

Obiettivi

The aim of this course is to familiarize the student with some of the most popular econometric methods encountered in applied work in finance.

Prerequisites
Basic knowledge of finance principles, statistics, probability and linear algebra.

Modalità di insegnamento

In presenza

Impostazione pedagogico-didattica

Lectures ex-cathedra.

Modalità d’esame

Final written exam.

Bibliografia

Obbligatorio

Offerta formativa