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
Finance (2023/2024)
Teacher
Referent
Credits
4
Language
English
Class attendance
Free Choice
Location
VERONA
Learning objectives
Drawing from financial stylized facts, this course is designed to provide students with a comprehensive grasp of statistical techniques crucial for analyzing both univariate and multivariate financial data. Emphasizing the analysis and forecasting of market risk, the course delves into modeling volatility using conditional heteroscedastic models such as ARCH and GARCH, alongside their extensions. Additionally, we explore their multivariate extensions and their significance in portfolio management, including insights into high-dimensional methods for analyzing financial time series.
Program
– Asset returns. Stylized facts: asymmetry, kurtosis and volatility clustering. Stochastic processes: stationarity, purely random processes. Random walks and martingales. Review of prediction theory. Optimal prediction
– Volatility measurement and analysis: autoregressive Conditional Heteroscedasticity (ARCH): model specification, properties, maximum likelihood estimation, prediction. Extensions: ARCH in mean. Generalized ARCH models, Integrated GARCH, Exponential GARCH models. GJR-GARCH, Leverage. Fat and heavy tails
– Multivariate GARCH models. VEC and BEKK. Conditional correlation models: constant and dynamic, CCC, DCC. Factor models: Factor GARCH, O-GARCH. Large dimensional covariance and correlation matrices
– Introduce the Capital Asset Pricing Model (CAPM) framework and its assumptions for asset pricing, including the relationship between risk and return, systematic risk, and the market risk premium
Learning assessment procedures
The exam consists of presenting a scientific article.
Assessment
Both the comprehension of the article itself and the mastery of the topics covered in the course are evaluated.
Scheduled Lessons
| When | Classroom | Teacher | topics |
|---|---|---|---|
|
Monday 20 May 2024 14:00 - 18:00 Duration: 4:00 AM |
Polo Santa Marta - Sala Andrea Vaona (DSE) [1.59 - 1] | Giorgio Vocalelli | Finance |
|
Thursday 23 May 2024 09:00 - 13:00 Duration: 4:00 AM |
Polo Santa Marta - SMT.04 [SMT.4 - terra] | Giorgio Vocalelli | Finance |
|
Monday 27 May 2024 09:00 - 13:00 Duration: 4:00 AM |
Polo Santa Marta - SMT.03 [SMT.3 - terra] | Giorgio Vocalelli | Finance |
|
Thursday 30 May 2024 09:00 - 13:00 Duration: 4:00 AM |
Polo Santa Marta - SMT.09 [SMT.9 - terra] | Giorgio Vocalelli | Finance |
