MASSIMO GUIDOLIN

- 20192 - FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 2
   A.A. 2011/2012 - Classi: 14, 15, 16
   A.A. 2012/2013 - Classi: 15, 16, 17
   A.A. 2013/2014 - Classi: 15, 16, 17
   A.A. 2014/2015 - Classi: 15, 16, 17
   A.A. 2015/2016 - Classi: 15, 16, 17
   A.A. 2016/2017 - Classi: 15, 16, 17
   A.A. 2017/2018 - Classi: 15, 16, 17
   A.A. 2018/2019 - Classi: 15, 16, 17

Syllabus dettagliato (con informazioni sulle modalità d'esame)

Il pre-corso estivo di statistica rimane qui.

1. The Econometrics of Financial Returns: an Introduction [3 hours]

*Lecture Slides.
GUIDOLIN-PEDIO, chapter 1 and Appendix.

2. Essential Concepts in Time Series Analysis: Weak and Strong Stationarity; Sample Autocorrelations and Sample Partial Autocorrelations [5 hours]

*Lecture Slides.
*GUIDOLIN-PEDIO, chapter 2.1.
Cornell, B. (2018) "Taking Stationarity Seriously", Journal of Portfolio Management, 44, 1-4.

3. Autoregressive Moving Average (ARMA) Models and their Applications; Selection and Estimation of AR, MA and ARMA models; Forecasting ARMA processes [11 hours]

*Lecture Slides. (LECTURE VIDEOS HAVE BEEN POSTED ON BLACKBOARD, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 2.2-2-4.

Alcune slide supplementari su stazionarietà, memoria e medie mobili qui.
Per giocare con le ACF ed altre proprieta' di modelli ARMA, si veda qui.
 

4. Multivariate Time Series: Structural vs. Reduced-Form VARs; Estimation; Specification, Hypothesis Testing, and Forecasting; Structural Analysis with VAR Models [11 hours]

*Lecture Slides.(LECTURE VIDEOS HAVE BEEN POSTED ON BLACKBOARD, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 3.1-3.3.

Un esempio di impulse response function con calcoli espliciti è qui.
 

5. Unit Roots, Cointegration and Error Correction; Spurious Regression Problem [7 hours]

*Lecture Slides (part 1, part 2).(LECTURE VIDEOS HAVE BEEN POSTED ON BLACKBOARD, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 4.
Campbell, J. Y. and R. Shiller (1987) "Cointegration and Present Value Models", Journal of Political Economy, 95, 1062-1088.
Bhargava, V., and D., Malhotra (2006) "Do Price-Earnings Ratios Drive Stock Values?", Journal of Portfolio Management, 33, 86-92.
One example of cointegration analysis on US real stock prices, dividends, and earnings is here.

6. Univariate Volatility Modeling: Introduction to ARCH and GARCH [6 hours]

*Lecture Slides. (LECTURE VIDEOS HAVE BEEN POSTED ON BLACKBOARD, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 5.1-5.2.
Engle, R. F. (2001) “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives, 15, 157-168.
Schreder, M. (2018) "Volatility Forecasting in Practice: Exploratory Evidence from European Hedge Funds", Journal of Asset Management, 19, 245-258.
One example of estimation of RiskMetric's lmbda parameter is here.

7. Advanced Univariate Volatility Modeling: Non-Gaussian Marginal Innovations; Exogenous (Predetermined) Factors; Forecasting; Estimation and Inference [5 hours]

*Lecture Slides.(LECTURE VIDEOS HAVE BEEN POSTED ON BLACKBOARD, SEE https://blackboard.unibocconi.it/)
*GUIDOLIN-PEDIO, chapter 5.3-5.6.
Poon, S.-H., C. Granger (2005) “Practical Issues in Forecasting Volatility”, Financial Analysts Journal, Jan./Feb. issue, 61, 45-56.

One example of estimation of asymmetries in threshold GARCH in different asset classes is here.
Supplementary material on Netwon's method to maximize the log-likelihood function is here.
Supplementary material on GARCH option pricing is here.