Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Study Plan
The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.
1° Year
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2° Year activated in the A.Y. 2020/2021
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Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Financial econometrics (2019/2020)
Teaching code
4S00241
Teacher
Coordinator
Credits
9
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-P/05 - ECONOMETRICS
Period
primo semestre magistrali dal Sep 30, 2019 al Dec 20, 2019.
Learning outcomes
L'obiettivo di questo corso è fornire un'introduzione ai modelli econometrici per i mercati finanziari e alla loro applicazione alla modellazione e alla previsione dei dati di serie temporali finanziarie. Il corso si propone di introdurre all'analisi empirica di modelli finanziari (CAPM, Fama-French) e alla verifica empirica dell'efficienza di portafogli. Particolare attenzione sarà inoltre dedicata alla modellazione e previsione dei rendimenti e della volatilità, Al temine delle lezioni ci si attende che lo studente (a) abbia una solida conoscenza dei temi di base in econometria finanziaria; (b) conosca e sia in grado di utilizzare concetti e notazioni frequentemente utilizzati in ambito dell'analisi econometrica dei mercati finanziari; (c) sia in grado di condurre applicazioni empiriche di teoria finanziaria basate su dati finanziari utilizzando tecniche econometriche; (d) sia in grado di interpretare i risultati di applicazioni empiriche condotte da altri.
Program
1. Introduction
a. Econometrics
b. Statistics recap and introduction to the software
2. Optimal portfolio allocation
a. Mean-Variance criterion; Sharpe index
b. Efficient frontiera with and without risk-free asset; Tangency portfolio; Two-fund separation theorem
3. Ordinary Least Squares (OLS) model
a. Univariate and multivariate regressions; Marginal effects and elasticities; Goodness of fit of the model
b. Hypothesis testing: t and F tests, diagnostics
4. Market equilibrium
a. Capital Asset Pricing Model and empirical assessment
b. Multi-factor models; Fama-MacBeth tests
5. Portfolio tests
a. Return estimates (historical, equilibirum, implicit); Black-Litterman approach
b. Efficient portfolios; Robustness to return estimates; Efficiency test of Jobson-Korkie; Britten-Jones approach
6. Models for financial time series
a. AR, MA and ARMA models to estimate returns
b. ARCH and GARCH models to estimate volatilities
Lecture method: frontal teaching
| Author | Title | Publishing house | Year | ISBN | Notes |
|---|---|---|---|---|---|
| Verbeek, M. | A Guide to Modern Econometrics | Wiley | 2000 | ||
| Elton, E.J., Gruber, M.J., Brown, S.J., Goetzmann, W.N. | Teorie di Portafoglio e Analisi degli Investimenti | Apogeo | 2013 |
Examination Methods
The exam is made of one written essay and one individual homework; the final grade is given by the average of the grades in the essay and the homework, with 75% and 25% weights respectively. In order to pass the exam, it is necessary to obtain a grade not below 16/30 in the written essay.
The written essay is taken in a teaching room, lasts two hours and covers the whole program of the course. Use of handheld calculator, personal notes or other teaching material is not allowed.
The homework is developed individually outside the teaching rooms, and can be of two types (Homework I or Homework II). Each student can choose which type of homework to deliver, but must deliver one of them. Once the deadline for delivery of Homework I has expired, it is possible to deliver Homework II only. The homework grade remains valid throughout the academic year.
Homework I aims to develop analytical skills through personal data analysis.
Homework II aims to develop critical skills with respect to empirical applications.
During the summer session the written essay is held remotely and lasts one hour, with exercises in line with standard essays and with what seen in class. The final grade is still defined as the average between the written essay and the homework, with the written essay having a 75% weight.
