Teaching code

4S00489

Teacher

Riccardo D'Alberto

Coordinator

Riccardo D'Alberto

Credits

9

Language

Italian

Scientific Disciplinary Sector (SSD)

SECS-S/03 - ECONOMIC STATISTICS

Period

Primo semestre (lauree magistrali) dal Oct 2, 2023 al Dec 22, 2023.

Courses Single

Authorized

Lessons timetable Moodle Seminars 0

Learning objectives

The goal of the course is to introduce students to the modern econometric and time series tools for analyzing and modeling financial returns and volatility. The course provides students with theoretical and practical knowledge of the statistical and computational skills needed for the identification, estimation and test of stochastic processes used by the financial operators to manage risk and develop investment strategies. At the end of the course, students will be able to critically compare the price dynamic of different assets and to estimate the parameters of the stochastic processes that captures the main stylized facts observed in the financial markets.

Prerequisites and basic notions

The teaching requires a good knowledge of the fundamental concepts of probability calculus and statistical inference theory.

Program

1. Risk Measurement and Validation of Statistical Models
• Risk Measurement
• Cross-validation and backtesting
• Statistical Aspects of Risk Measures
2. Returns Analysis
• Unconditional Distribution of Returns
• Autocorrelation Functions
• Correlograms
3. Statistical Models for the Mean
• iid Stochastic Processes
• AR, MA, ARMA Models
4. Statistical Models for Variance
• ARCH Processes
• GARCH Processes
5. Developments in Mean-Variance Theory
6. Introduction to Extreme Values Theory and Copula

Bibliography

Didactic methods

Traditional in-classroom lectures conducted with the support of teaching materials provided to students by the professor, along with examples and exercises carried out using R.

Learning assessment procedures

The assessment of learning is conducted through a written exam. The exam is structured as follows:
- 10 short, multiple-choice, or calculated questions
- 4 open-ended questions/exercises
Questions may cover theoretical or methodological aspects, require exercise solutions, or call for discussion, commentary, and analysis of applied problems based on the knowledge acquired during the course.
With the exception of supplementary materials, all topics presented in class by the instructor, sections of the recommended textbooks in the bibliography relevant to the course syllabus, and supplementary materials explicitly included in the course schedule are integral parts of the learning assessment.
If inconsistencies arise in the answers provided in the written exam, or if it is not possible to provide an overall evaluation of the exam, the professor reserves the right to summon individual candidates for an additional oral exam.
The oral exam may cover any topic from the course syllabus and may result in a final evaluation equal to, higher, or lower than that obtained in the written exam, potentially altering the outcome in relation to the passing grade.

Evaluation criteria

The written exam, as well as the oral exam, aim to assess the candidate's knowledge of the topics outlined in the course syllabus, mastery of technical language, and clarity in presentation. They also evaluate the candidate's ability to independently apply the statistical methods learned during the course and approach the statistical analysis of business phenomena, providing a correct interpretation of the results.

Criteria for the composition of the final grade

Voto in trentesimi.

Exam language

Italiano