Portale di Ateneo - En.Unibs.it

Borrowed courses

ECONOMETRICS OF FINANCIAL MARKETS

CONSULENZA AZIENDALE E LIBERA PROFESSIONE

CORSO GENERICO
ECONOMETRICS OF FINANCIAL MARKETS

MANAGEMENT

MARKETING
ECONOMETRICS OF FINANCIAL MARKETS

MANAGEMENT

INTERNATIONAL BUSINESS
ECONOMETRICS OF FINANCIAL MARKETS

MANAGEMENT

INNOVATION
ECONOMETRICS OF FINANCIAL MARKETS

MANAGEMENT

FINANZA

Other Courses of the Study Programme

Course year: 1

BANKING RISK MANAGEMENT
Attendance grouping
12 credits - Raggruppamento di frequenza
DERIVATIVES AND FINANCIAL HEDGING - 6 credits - Characterising
FINANCIAL MARKETS LAW - 6 credits - Characterising
MARKET RISK - 9 credits - Characterising
MATHEMATICAL METHODS AND INFORMATICS FOR FINANCE
Attendance grouping
12 credits - Raggruppamento di frequenza
MONEY AND FINANCE - 9 credits - Characterising
STATISTICS FOR RISK MANAGEMENT - 6 credits - Related/Supplementary

Course year: 2

ADMINISTRATION LAW - 6 credits - Student's own choice
ADVANCED FINANCIAL ACCOUNTING (CONSOLIDATED FINANCIAL STATEMENT) - 9 credits - Student's own choice
ASSET MANAGEMENT AND INSTITUTIONAL INVESTORS
Attendance grouping
9 credits - Raggruppamento di frequenza
BANKING AND FINANCIAL OPERATIONS - 2 credits
BANKRUPTCY AND CONTRACTS FOR REORGANIZATIONS - 6 credits - Student's own choice
BANKRUPTCY LAW - 6 credits - Student's own choice
BUSINESS ENGLISH - 6 credits - Student's own choice
BUSINESS HISTORY - 9 credits - Student's own choice
COMMERCIAL LAW - 6 credits - Student's own choice
COMMUNICATION MANAGEMENT - 9 credits - Student's own choice
CONTRACT LAW FIRM - 6 credits - Student's own choice
CORPORATE FINANCE (MERGERS, ACQUISITIONS AND CORPORATE RESTRUCTURING) - 6 credits - Student's own choice
CORPORATE GOVERNANCE AND CONTROL SYSTEMS - 9 credits - Student's own choice
DATA ANALYSIS FOR BUSINESS AND FINANCE - 6 credits - Student's own choice
DEGREE THESIS - 16 credits - Language/Final Examination
ECONOMETRICS OF FINANCIAL MARKETS - 6 credits - Characterising
ECONOMIC HISTORY OF THE PROFESSIONS - 6 credits - Student's own choice
ECONOMICS OF TAXATION - 9 credits - Student's own choice
ENTREPRENEURSHIP AND SMALL BUSINESS - 2 credits
ETHICS AND ECONOMICS - 2 credits
EU LABOUR LAW - 6 credits - Student's own choice
FINANCIAL ANALYSIS - 6 credits - Student's own choice
FINANCIAL CONTRACT LAW - 6 credits - Student's own choice
FINANCIAL CRISIS - 6 credits - Characterising
FINANCIAL MANAGEMENT
Attendance grouping
9 credits - Raggruppamento di frequenza
FINANCIAL STATEMENT ANALYSIS AND FINANCIAL COMMUNICATION - 9 credits - Related/Supplementary
HISTORY OF GLOBALIZATION - 9 credits - Student's own choice
HUMAN RESOURCE MANAGEMENT - 9 credits - Student's own choice
INDUSTRIAL ECONOMICS AND POLICY - 6 credits - Student's own choice
INTERNATIONAL ACCOUNTING AND REPORTING ISSUES - 6 credits - Student's own choice
INTERNATIONAL ECONOMIC ENVIRONMENT FOR BUSINESS - 9 credits - Student's own choice
INTERNATIONAL MARKETING - 9 credits - Student's own choice
INTERNATIONAL TRANSPORTATION LOGISTICS - 6 credits - Student's own choice
INTRODUCTION TO CHINESE LANGUAGE AND CULTURE - 6 credits - Student's own choice
INTRODUCTION TO CSR - 2 credits
INTRODUCTION TO LOGISTICS - 6 credits - Student's own choice
INVESTMENT AND FINANCING ANALYSIS - 9 credits - Student's own choice
LABOUR MARKET, PROFESSIONAL TRAINING AND TYPES OF CONTRACT - 2 credits
LEADERSHIP AND COMPLEX ORGANIZATIONS - 6 credits - Student's own choice
LOGISTICS MANAGEMENT
Attendance grouping
12 credits - Raggruppamento di frequenza
LOGISTICS TECHNOLOGIES - 9 credits - Student's own choice
MACROECONOMIC OUTLOOK AND POLICIES - 9 credits - Student's own choice
MARKETING MANAGEMENT - 9 credits - Student's own choice
MARKETING-ADVANCED - 6 credits - Student's own choice
PRODUCTION MANAGEMENT - 6 credits - Student's own choice
QUANTITATIVE METHODS FOR ECONOMICS AND BUSINESS - 9 credits - Student's own choice
RISK MANAGEMENT AND EXTERNAL CONTROLS - 6 credits - Student's own choice
SERVICE MARKETING - 6 credits - Student's own choice
SOCIOLOGY OF INNOVATION - 6 credits - Student's own choice
SPECIAL TOPICS IN REPORTING (SOCIAL AND ENVIRONMENTAL REPORTING) - 6 credits - Student's own choice
STATISTICS FOR BUSINESS DECISIONS - 9 credits - Student's own choice
STATISTICS FOR FINANCE - 9 credits - Student's own choice
STATISTICS FOR MARKETING - 9 credits - Student's own choice
SUPPLY CHAIN AND PRODUCTION
Attendance grouping
12 credits - Raggruppamento di frequenza
SUPPLY CHAIN AND TRANSPORTATION
Attendance grouping
12 credits - Raggruppamento di frequenza
SUPPLY CHAIN MANAGEMENT - 6 credits - Student's own choice
TAX LAW - 9 credits - Student's own choice
THE BUSINESS PLAN IN CASE OF START-UP INITIATIVES - 2 credits
TRANSPORTATION MANAGEMENT - 6 credits - Student's own choice

ECONOMETRICS OF FINANCIAL MARKETS

Single discipline educational activity

Course Sheet

Course code:

703116

Academic Year of enrolment:

2013/2014

Academic Year of provision:

2014/2015

Type of Course:

Characterising

Degree:

Master's Degree Programme in MONEY, FINANCE AND RISK MANAGEMENT

Disciplinary Sector:

Econometrics

Language:

Italian

Grouping type:

Credits:

Programme Year:

Professor and Collaborators:

MINIACI Raffaele Professor

Cycle:

Second four months

Hours of classroom activity:

Hours of individual study:

110

Students must be already familiar with statistical inference, statistical tools for risk management and portfolio theory.

Educational Goals

The course is an introduction to the econometric techniques for financial times series, for testing the efficiency of the portfolios, and for estimating the most common models of asset pricing. The lectures and the tutorials will focus on the empirical issues and will provide the basic skills to develop small project works.

Content

The course is an introduction to the econometric techniques for financial times series, for testing the efficiency of the portfolios, and for estimating the most common models of asset pricing. Moreover, the econometric techniques to deal with the individual risks will be introduced. The lectures and the tutorials will focus on the empirical issues and will provide the basic skills to develop small project works.

Extended Syllabus

- Statistical properties of financial time series and volatility analysis
- Mean-variance efficient frontier: estimation and efficiency tests
- CAPM in time series and cross sections
- APT models, factors identification and estimation
- Performance and style analysis
- Logistic and duration models for the analysis of individual risks

Recommended Bibliography

Craig MacKinlay, Andrew W. Lo and John Y. Campbell, The Econometrics of Financial Markets, Princeton, NJ: Princeton University Press, 1997
Gourieroux C. and J. Jasiak, (2007): The Econometrics of Individual Risk. Credit, Insurance, and Marketing, Princeton University Press.
Tutorials, handouts and data will be available at the web page of the course.

Methods of Provision

Conventional

Teaching Methods

Lectures and tutorials in the PC lab. The course is designed in order for the students to pass the exam at the very end of the classes. Students are kindly invited to study the material of the course during the teaching period and to use teacher's office hours and his email to discuss any issue about the material and the assignements

Assessment Methods

Written exam and project work. The topic of the project work is agreed between the student and the instructor.
The written exam includes two theoretical questions, and two exercises in which the students is required to use estimation results, to interpret them and to run hypothesis tests.
The marks of the written exam and of the project work contribute 50%-50% to the final marks.

Assessment:

Final Mark

Programme of Educational Activities

Start date of teaching period:

Wednesday, February 18, 2015

End date of teaching period:

Wednesday, May 27, 2015