Insegnamento a.a. 2020-2021

30285 - EMPIRICAL METHODS FOR FINANCE (INTRODUCTION TO ECONOMETRICS FOR FINANCE)

Department of Finance

Course taught in English
Go to class group/s: 31 - 32
BIEF (6 credits - I sem. - OBCUR  |  SECS-P/05)
Course Director:
MARIANO MASSIMILIANO CROCE

Classes: 31 (I sem.) - 32 (I sem.)


Suggested background knowledge

Students are expected to have already 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) is also recommended to understand the applications covered in class.

PREREQUISITES

Only for BIEF students: the exam code 30001 Statistics is a prerequisite of the exam empirical methods for finances.

Mission & Content Summary

MISSION

The objective of this course is to introduce the main econometric methods and techniques used in empirical finance. This is an ambitious task that brings together different type of knowledge: finance theory, statistics, programming. You learn how to use software(s) to specify, estimate and simulate model of financial data to be used for asset allocation, risk measurement and risk management. The teaching strategy is based on providing inputs (learning opportunities) to students that are supposed to active elaborate them to produce their knowledge. The course is designed to give opportunities. The decision of how many opportunities to take and how to take them is left to course participants. The final assessment is designed to evaluate the solidity of the foundation in the relevant tools for financial time-series modelling achieved by the students at the end of the course.

CONTENT SUMMARY

After going over `The introduction to the course’ lecture, we address the following:

  • Basic knowledge in finance, statistics, probability.
  • Introduction to programming.
  • Returns: definitions, interpretation; measurement; data collection; analysis.
  • Modeling and Simulating Returns.
  • Estimating Linear Models of Returns.
  • Interpreting Regression Results.
  • TBA.
  • High-order risk sources.

Intended Learning Outcomes (ILO)

KNOWLEDGE AND UNDERSTANDING

At the end of the course student will be able to...

The objective of this course is to introduce the main econometric methods and techniques used in empirical finance. This is an ambitious task that brings together different type of knowledge: finance theory, statistics, programming. You learn how to use software, to specify, estimate and simulate model of financial data to be used for asset allocation, risk measurement and risk management. The course is designed to give opportunities. The decision of how many opportunities to take and how to take them is left to course participants. 

APPLYING KNOWLEDGE AND UNDERSTANDING

At the end of the course student will be able to...
  • Apply econometric techniques to study returns both in the time-series and in the cross section.

Teaching methods

  • Face-to-face lectures
  • Exercises (exercises, database, software etc.)
  • Individual assignments

DETAILS

The main inputs provided to the students are references, slides, notes, draft Python codes and exercises designed to provide challenges that stimulate learning. The empirical applications are based on databases freely available on the web.


Assessment methods

  Continuous assessment Partial exams General exam
  • Written individual exam (traditional/online)
     x
  • Individual assignment (report, exercise, presentation, project work etc.)
     x

ATTENDING STUDENTS

Their final grade will be a weighted average of:

-- their homeworks;

-- their in-class quiz ( provided in the middle of the semester);

and  

-- their final exam.

 

This computation of the grade applies to students taking the exam in December or January. In all other cases, the final grade will depend solely on the performance in the final exam. 


NOT ATTENDING STUDENTS

All homeworks can be delivered online. Hence non-attending students can deliver their HWs as attending students. Their final grade will be a weighted average of both their homeworks and their final exam. This computation of the grade applies to students taking the exam in December or January. In all other cases, the final grade will depend solely on the performance in the final exam. 


Teaching materials


ATTENDING AND NOT ATTENDING STUDENTS

  • MAIN BOOK: “Introductory Econometrics for Finance” by Chris Brooks, 2nd Edition
  • J. COCHRANE, Asset pricing. Revised Edition. (only 2 chapters)
Last change 01/08/2020 08:57