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:
- Linear Factor Pricing Model
- 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.
Teaching notes will be distributed during the course.
The aim of this course is to familiarize the student with some of the most popular econometric methods encountered in applied work in finance.
Basic knowledge of finance principles, statistics, probability and linear algebra
Modalità di insegnamento
Compliant with COVID-19 guidelines.
Final written exam