Training and Research
PhD Programme Courses/classes
Mathematical Statistics
Credits: 5
Language: English
Teacher: Catia Scricciolo
Microeconomics 1
Credits: 7.5
Language: English
Teacher: Simona Fiore, Claudio Zoli, Martina Menon
Continuous Time Econometrics
Credits: 5
Language: English
Teacher: Cecilia Mancini
Probability
Credits: 7.5
Language: English
Teacher: Marco Minozzo
Macroeconomics I
Credits: 7.5
Language: English
Teacher: Tamara Fioroni, Alessia Campolmi
Game Theory
Credits: 5
Language: English
Teacher: Francesco De Sinopoli
Mathematics
Credits: 4.5
Language: English
Teacher: Andrea Mazzon, Jonathan Yick Yeung Tam
Advice to Young Economists
Credits: 4
Language: English
Teacher: Marco Piovesan
Stochastic Optimization and Control
Credits: 5
Language: English
Teacher: Athena Picarelli
Financial Time Series
Credits: 5
Language: English
Teacher: Giuseppe Buccheri, Francesca Rossi
Mean Field Games (part I)
Credits: 2.5
Language: English
Teacher: Luciano Campi
Job Market Orientation
Credits: 1
Language: English
Teacher: Joan Madia, Simone Quercia
Discretization of Processes
Credits: 4.5
Language: English
Teacher: Jean Jacod
Topics in applied economics with administrative data
Credits: 1
Language: English
Teacher: Edoardo Di Porto
Multivariate Analysis with Latent Variables: The SEM Approach
Credits: 3
Language: English
Teacher: Albert Satorra
Finanza Matematica
Credits: 5
Language: English
Teacher: Alessandro Gnoatto
Political Economy
Credits: 4
Language: English
Teacher: Emanuele Bracco, Roberto Ricciuti
Finite Mixture Models in Health Economics: Theory and Applications
Credits: 1
Language: English
Teacher: Paolo Li Donni
Inequality
Credits: 4
Language: English
Teacher: Francesco Andreoli, Claudio Zoli
Behavioral and Experimental Economics
Credits: 4
Language: English
Teacher: Simone Quercia, Maria Vittoria Levati, Marco Piovesan
Health Economics
Credits: 4
Language: English
Teacher: Paolo Pertile, Catia Nicodemo
Development economics
Credits: 4
Language: English
Teacher: Federico Perali
Finance
Credits: 4
Language: English
Teacher: Giorgio Vocalelli
Mean Field Games (part II)
Credits: 2.5
Language: English
Teacher: Giulia Liveri
Stochastic Processes in Finance
Credits: 5
Language: English
Teacher: Sara Svaluto Ferro, Christa Cuchiero
Dynamic Corporate Finance
Credits: 2
Language: Englìsh
Continuous Time Econometrics (2023/2024)
Teacher
Referent
Credits
5
Language
English
Class attendance
Free Choice
Location
VERONA
Learning objectives
The course aims to introduce the class of semimartingale processes with jumps, used in the literature as financial asset price models, and to provide tools for estimating and testing jumps in financial asset prices
Prerequisites and basic notions
basic probability, basic statistics, Brownian motiion
Program
Random measures and Poisson random measures
Semimartingales with jumps and Lévy processes
Semimartingale models for financial asset prices:
Brownian SM, finite activity jumps,
infinite activity jumps, pure jump models
Quadratic variation
Estimating the jumps given discrete observations
Testing for jumps
Bibliography
Didactic methods
Classroom lessons, assignments consisting in the study of the proof of some results then to be told and commented on in class
Learning assessment procedures
Each student can choose either a written exam about one of the topics dealt with during the course, or an individual written and reasoned report deepening one of the topics of the course
Assessment
Rigor, creativity, exposure
Criteria for the composition of the final grade
Rigor 4 points out of 10, creativity 3, exposure 3
Scheduled Lessons
| When | Classroom | Teacher | topics |
|---|---|---|---|
|
Wednesday 04 October 2023 09:00 - 12:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.04 [SMT.4 - terra] | Cecilia Mancini | Continuous Time Econometrics |
|
Wednesday 11 October 2023 09:00 - 12:00 Duration: 3:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Cecilia Mancini | Continuous Time Econometrics |
|
Wednesday 18 October 2023 09:00 - 12:00 Duration: 3:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Cecilia Mancini | Continuous Time Econometrics |
|
Wednesday 25 October 2023 09:00 - 12:00 Duration: 3:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Cecilia Mancini | Continuous Time Econometrics |
|
Wednesday 08 November 2023 09:00 - 12:00 Duration: 3:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Cecilia Mancini | Continuous Time Econometrics |
|
Wednesday 15 November 2023 09:00 - 12:00 Duration: 3:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Cecilia Mancini | Continuous Time Econometrics |
|
Wednesday 22 November 2023 09:00 - 11:00 Duration: 2:00 AM |
Polo Santa Marta - Sala contrattisti DSE [1.11 - 1] | Cecilia Mancini | Continuous Time Econometrics |
