Course 2017-2018 a.y.

30188 - INTRODUCTORY FINANCIAL ECONOMETRICS


CLEAM - CLEF - CLEACC - CLES-BESS - WBB - BIEM - BIG
Department of Finance

Course taught in English


Go to class group/s: 31

CLEAM (6 credits - I sem. - OP  |  SECS-P/05) - CLEF (6 credits - I sem. - OP  |  SECS-P/05) - CLEACC (6 credits - I sem. - OP  |  SECS-P/05) - CLES-BESS (6 credits - I sem. - OP  |  SECS-P/05) - WBB (6 credits - I sem. - OP  |  SECS-P/05) - BIEM (6 credits - I sem. - OP  |  SECS-P/05) - BIG (6 credits - I sem. - OP  |  SECS-P/05)
Course Director:
CARLO AMBROGIO FAVERO

Classes: 31 (I sem.)
Instructors:
Class 31: CARLO AMBROGIO FAVERO


Course Objectives

The objective of this course is to introduce the main econometric methods and techniques used in empirical finance. The emphasis is on applications rather than econometric theory. We use real financial data and the statistical package EViews to tackle interesting issues in finance. Class lectures are supplemented by computer lab sections. Students leave the course with a solid foundation in many of the tools used in modern financial time series and quantitative finance.


Course Content Summary
  • Brief review of probability and statistics.
  • Introduction to Eviews.
  • Linear regression model: basics and extensions.
  • Univariate time-series modeling and forecasting.
  • Multivariate models.
  • Modeling long-run relationships in finance.
  • Modeling volatility and correlation.

Detailed Description of Assessment Methods
There is a written final exam, focusing on
  • The econometric methods introduced in class.
  • Stylized facts about the data used in the empirical applications.
  • Interpreting results of empirical studies in the area of finance.

Textbooks
  • C. BROOKS, Introductory Econometrics for Finance, Cambridge University Press, 2008, 2nd edition, chapters 1-8.

Prerequisites
Students are expected to have attended a core course in statistics and to be familiar with undergraduate calculus and linear algebra. Prior exposure to financial courses (financial markets and institutions, investments and corporate finance) would be useful to understand the applications covered in class.
Last change 10/05/2017 16:05