Course 2009-2010 a.y.

Go to class group/s: 31

CLEAM (6 credits - II sem. - AI) - CLES (6 credits - II sem. - AI) - CLEF (6 credits - II sem. - AI) - BIEM (6 credits - II sem. - AI) - CLEACC (6 credits - II sem. - AI)

Course Director:
CLAUDIO MORANA

Course Objectives

The objective of this course is to teach introductory financial econometrics using a data and problem-driven approach, giving the students the skills to estimate and interpret models, while having an intuitive grasp of the underlying theoretical concepts. The course serves also the purpose of giving the students the necessary foundations to proceed with further work in empirical finance. Empirical exercises will be regularly discussed in classes. Each section of the course will be introduced with a class lecture and a computer lab section. The reference econometric package is EVIEWS.

Course Content Summary

• Introduction
• E-Views: an econometric package for modeling financial data
• The classical linear regression model. Applications to financial data.
• Issues with the classical linear regression model. Application: heteroscedasticity and autocorrelation in financial variables
• Univariate time-series modeling and forecasting. Application: ARMA modeling of asset returns
• Multivariate models. Applications to financial data.
• Modelling long-run relationships in finance. Applications to financial data.

Detailed Description of Assessment Methods

Written exam.

Textbooks

• C. Brooks, Introductory Econometrics for Finance, Cambridge University Press, 2002, ch. 1-6.

Exam textbooks & Online Articles (check availability at the Library)

Last change 22/12/2009 18:02