Financial Econometrics
Persone
Docente titolare del corso
Assistente
Descrizione
Prerequisites
Advanced Statistics.
Course description
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 model, three major topics are considered:
- The Linear Factor Pricing Model
- Likelihood Methods, with an application to ARCH and GARCH models
- The Generalized Method of Moments
Textbooks:
J.Y. Campbell, A.W. Lo and A.C. Mackinlay, The Econometrics of Financial Markets, Princeton University Press, Princeton, 1997.
W.H. Greene, Econometric Analysis, Prentice-Hall International, 3rd ed., 1997.
C. Gourieroux and J. Jasiak, Financial Econometrics, Princeton University Press, Princeton, 2001.
J.D. Hamilton, Time Series Analysis, Princeton University Press, Princeton, 1994.
Offerta formativa
- Master of Science in Economics in Banking and Finance (until A.Y. 2017), Corso a scelta, 2° anno
- Master of Science in Economics in Finance (until A.Y. 2017), Foundation course, 1° anno