Financial econometrics - modulo base (2007/2008)

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Course code
4S00241
Name of lecturer
Laura Magazzini
Number of ECTS credits allocated
3
Academic sector
SECS-P/05 - ECONOMETRICS
Language of instruction
Italian
Period
1° Q dal Oct 3, 2007 al Dec 4, 2007.

To show the organization of the course that includes this module, follow this link * Course organization

Lesson timetable

1° Q
Day Time Type Place Note
Monday 11:30 AM - 1:30 PM lesson Lecture Hall C  
Tuesday 11:30 AM - 1:30 PM lesson Lecture Hall D  

Learning outcomes

This course provides a set of econometric tools useful to analyze financial markets.

Syllabus

1. Review of probability and inference
2. The linear regression model: definition and estimation by OLS
3. Inference in the linear regression model
4. Diagnostic tests in the linear regression model: misspecification tests of the conditional mean function, misspecification tests of conditional variance function.

Assessment methods and criteria

Written Exam

Studying