Applied Econometrics (2006-2007)

Academic Year of the Course: 
2006-2007
Course: 
EC094
Applied Econometrics
Teaching staff: 
Gaetano Carmeci
Course Outlines: 
The course, at an introductory level, deals with some of the most important econometric tools used by financial institutions for forecasting expected returns and volatility of stocks, bonds, exchange rates, interest rates and derivatives. ARIMA models, ARCH and GARCH models, and stochastic volatiliy models are introduced and applied to financial time series. Moreover, following the stochastic discount factor approach, CAPM and multifactor pricing models are introduced and estimated.
Contents: 
- Cenni sull’economia dei mercati finanziari: la teoria del fattore di sconto stocastico, i modelli lineari multifattoriali di Asset Pricing (CAPM, APT), probabilità neutralizzate rispetto al rischio e E-VaR. - Caratteristiche delle serie storiche finanz
Recommended Texts: 
John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, ''The Econometrics of Financial Markets'', Princeton University Press, Princeton, New Jersey, 1997.John H. Cochrane, “Asset Pricing”, Princeton University Press, Princeton, New Jersey, 2001.Terence C. Mills, ''The Econometric Modelling of Financial Time Series'', 2nd ed., Cambridge University Press, 1999.Gardini A., Cavaliere G., Costa M., Fanelli L. e Paruolo P., Econometria vol.1, Franco Angeli: Milano, 2000.Gallo G. M., Pacini B., Metodi quantitativi per i mercati finanziari, Carocci Editore: Roma, 2002. Sergio Pastorello, Rischio e Rendimento: Teoria finanziaria e applicazioni econometriche, il Mulino: Bologna, 2001.
Last update: 12-11-2013 - 16:08