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FINANCIAL ECONOMETRICS I
Titolo corso in inglese: FINANCIAL ECONOMETRICS I
Titolo Modulo: Econometria della finanza I
Academic Year: 2006/2007
Course code: E00230
Crediti: 5.00
Reference Sector: SECS-P/05
Prof: Monica BILLIO
Where: VE
Semester/trimester: 2
Livello laurea: Triennale
Previsto nei piani di studio dei seguenti corsi di laurea:
- ECONOMIA E FINANZA - SP (EMF) - 3 anno
- ECONOMIA E FINANZA - TR - 3 anno
Appelli
| Sessione | Appello | Scritto | Orale |
|---|---|---|---|
| 1-2007 | 1 | 16/1 h. 9.00 S. Giobbe 3 B | |
| 1-2007 | 2 | 30/1 h. 9.00 S. Giobbe 11 B | |
| 1-2007 | 3 | 12/2 h. 14.00 S. Giobbe 11 B | |
| 3-2007 | 1 | 21/6 h. 9.00 S. Giobbe 2B | |
| 3-2007 | 2 | ||
| 3-2007 | 3 | ||
| 4-2007 | 1 | 11/9 h. 14.00 S. Giobbe 11B | |
| 4-2007 | 2 | ||
| 4-2007 | 3 |
Contents:
Educational Goal:The course provides an introduction to the modern econometric techniques used in the analysis of financial time series. By the end of the course students wil understand and critically evaluate models for asset return processes.Contents:
Nonlinearities in Financial Data (Conditional Heteroscedasticity: ARCH and GARCH Models, Stochastic Volatility Models, Switching Regime Models).Recommended Reading List:
Predictability of Asset Returns and Empirical Analysis of Equilibrium Models.
Econometrics of Derivatives.
Different approaches to measuring Risk.
Lecture notes and transparencies.Assessment:
A short working paper on a theoretical or applied subject chosen by the student. The paper will be presented in a workshop.
