Financial econometrics (2007/2008)

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Course code
Laura Magazzini
Teaching is organised as follows:
Unit Credits Academic sector Period Academic staff
modulo base 3 SECS-P/05-ECONOMETRICS 1° Q Laura Magazzini
modulo avanzato 1 SECS-P/05-ECONOMETRICS 1° Q Laura Magazzini

Learning outcomes

Module: modulo base
This course provides a set of econometric tools useful to analyze financial markets.

Module: modulo avanzato
This course aims at providing a set of econometric tools for the analysis of financial markets.


Module: modulo base ------- 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.
Module: modulo avanzato ------- Econometric techniques will be applied to financial data for the analysis of: - Capital Asset Pricing Model, - Estimate of efficient frontier - Performance analysis The course material is available at

Assessment methods and criteria

Module: modulo base
Written Exam

Module: modulo avanzato
Written exam.