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
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
Financial Time Series (2023/2024)
Academic staff
Referent
Credits
5
Language
English
Class attendance
Free Choice
Location
VERONA
Learning objectives
This is a graduate course on recent topics in Financial Time Series.\ In the first part of the course students will familiarize with the fundamental notions of time series analysis, with a particular emphasis on ARMA models.\ In the second part, some recent advances in financial time series models and volatility forecasting will be presented.
Prerequisites and basic notions
Students are supposed to posses a basic knowledge of calculus and linear algebra. A basic knowledge of a scientific computing software (Matlab, Python) is also required.
Program
Part 1
Lecturer: Francesca Rossi (10 hours)
- Introduction to time series; review of univariate statistics; tests for serial correlation; review of multivariate statistics; conditional distributions; the Markov property.
- Weak and strong stationarity; examples of autocorrelation structures; AR(1) and AR(2) models; MA(1) and MA(2) models; ARMA(1,1) models; ARMA(p,q) models; Wold decomposition.
- Law of Large Numbers and Central Limit Theorem for dependent data; estimation via Yule-Walker equations; OLS estimation; Maximum Likelihood estimation; Conditional Maximum Likelihood principle; Information Criteria.
Part 2
Lecturer: Giuseppe Buccheri (10 hours)
- Introductory topics. GARCH-type models, stochastic volatility models, Kalman filter. Cox classification of parameter-driven versus observation-driven models.
- Score-driven models as observation-driven models. Univariate score-driven volatility models based on Student-t and GED distributions. Scaling factors and link functions. Stationarity and ergodicity.
- DCC and dynamic correlation models based on the Student-t distribution. ``DRD" decomposition of the covariance matrix, (un)identifiability of static parameters, hyperspherical coordinates. Comparison with DCC.
- Realized measures. Univariate and multivariate score-driven models for realized measures. Estimation errors and curse-of-dimensionality. Two-step approaches and comparison with HAR-DRD.
Bibliography
Didactic methods
Lectures
Learning assessment procedures
The final exam consists of a written examination covering the topics of Part 1, and the analysis of a scientific article related to Part 2 of the course. The analysis entails the elaboration and modeling of time-series data and writing a report.
Assessment
The final evaluation is based on the exam grade.
Criteria for the composition of the final grade
The final grade is the average of the two grades achieved in Part 1 and Part 2.
Scheduled Lessons
| When | Classroom | Teacher | topics |
|---|---|---|---|
|
Tuesday 30 January 2024 10:00 - 12:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Francesca Rossi | Financial Time Series |
|
Thursday 01 February 2024 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Francesca Rossi | Financial Time Series |
|
Tuesday 06 February 2024 10:00 - 12:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Francesca Rossi | Financial Time Series |
|
Thursday 08 February 2024 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Francesca Rossi | Financial Time Series |
|
Monday 12 February 2024 11:00 - 13:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Giuseppe Buccheri | Financial Time Series |
|
Wednesday 14 February 2024 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Giuseppe Buccheri | Financial Time Series |
|
Monday 19 February 2024 11:00 - 13:00 Duration: 2:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Giuseppe Buccheri | Financial Time Series |
|
Wednesday 21 February 2024 14:00 - 17:00 Duration: 3:00 AM |
Polo Santa Marta - SMT.07 [SMT.7 - terra] | Giuseppe Buccheri | Financial Time Series |
