Financial econometrics (2008/2009)

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Course code
4S00241
Name of lecturer
Laura Magazzini
Number of ECTS credits allocated
4
Academic sector
SECS-P/05 - ECONOMETRICS
Language of instruction
Italian
Location
VERONA
Period
1° Q dal Oct 2, 2008 al Dec 19, 2008.
Course news Seminars related to the course

Lesson timetable

Learning outcomes

Module: basics
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Statistic tools and economic theory will be applied in order to provide students with competences and capabilities to understand and perform empirical analysis of economic phenomena.


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

Syllabus

Module: modulo base
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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
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Econometric techniques will be applied to financial data.

The course material is available at http://dse.univr.it/magazzini

Assessment methods and criteria

Module: modulo base
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Written Exam


Module: modulo avanzato
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Written exam.

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