Financial Econometrics
Persone
Docente titolare del corso
Ma H.
Assistente
Descrizione
Prerequisites
Advanced Statistics.
Objectives
The aim of this course is to familiarize the student with some of the most popular econometric methods encountered in applied work in finance.
Description / Program
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
- Ultra high frequency data
Emphasis is placed on the basic understanding of each approach, together with computer applications on real data.
Program:
- Review of classic Regression
- Estimating and testing linear factor models
- ARCH and GARCH models
Ultra high frequency data
Learning Method / Style of Lessons
Lectures ex-cathedra
Exam Style
Written
Readings/Textbooks
Campbell, J., Lo, A., and A. Mackinlay (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey.
Greene, W. (2008), Econometric Analysis, 6th Edition, Prentice Hall, Upper Saddle River, New Jersey.
Gourieroux, C. and J. Jasiak (2001), Financial Econometrics, Princeton University Press, Princeton, New Jersey.
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey.
Hayashi, F. (1994), Econometrics, Princeton University Press, Princeton, New Jersey.
Martin, V., Hurn, S., and D. Harris (2013), Econometric Modelling with Time Series, Themes in Modern Econometrics, Cambridge University Press, Cambridge.
Tsay, R. (2005), Analysis of Financial Time Series, Wiley Series in Probability and Statistics, Hoboken, New Jersey.
Offerta formativa
- Master of Science in Economics in Banking and Finance (until A.Y. 2017), Corso a scelta, Corso a scelta, 2° anno
- Master of Science in Economics in Finance, Corso obbligatorio, Minor in Quantitative Finance, 1° anno
- Master of Science in Economics in Finance, Corso obbligatorio, Minor in Banking and Finance, 1° anno
- Master of Science in Economics in Finance, Corso obbligatorio, Minor in Digital Finance, 1° anno
- Master of Science in Financial Technology and Computing, Corso di base, Corso, 1° anno