Course 2010-2011 a.y.

Go to class group/s: 31

CLEAM (6 credits - II sem. - OP  |  SECS-P/11) - CLES (6 credits - II sem. - OP  |  SECS-P/11) - CLEF (6 credits - II sem. - OP  |  SECS-P/11) - BIEM (6 credits - II sem. - OP  |  SECS-P/11) - CLEACC (6 credits - II sem. - OP  |  SECS-P/11)

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 are regularly discussed in classes and econometric programs for the implementation of all relevant concepts are available from this website. Each section of the course is 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.
• A brief overview of the classical linear regression model. Application: can mutual funds beat the market?
• Issues with the classical linear regression model. Application heteroschedasticity and autocorrelation in financial variables.
• Univariate time-series modeling and forecasting. Application: ARMA modeling of asset prices.
• Multivariate models. Application:using arbitrage relations in applied econometrics.
• Modelling long-run relationships in finance. Application: Cointegrated VAR and long-run risk.

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 18/06/2010 16:55