Master's degree in Quantitative Methods for Finance (until 2008-2009)

Course not running

Statistics methods for Financial markets

Course code
4S00543
Name of lecturer
Luigi Grossi
Number of ECTS credits allocated
10
Academic sector
SECS-S/03 - ECONOMIC STATISTICS
Language of instruction
Italian
Site
VERONA
Period
2° sem lez dal Feb 18, 2008 al May 24, 2008.

Lesson timetable

Learning outcomes

Globalization and the increasingly complex dependence of financial markets are reasons for using sophisticated mathematical and statistical methods and models to study the main features of financial prices and returns and to evaluate associated volatility and risks.
The course is designed to introduce statistical tools used in empirical research of financial data and to give a comprehensive introduction into important ideas of financial statistics. We do not aim at covering all practically relevant details, and we also do not discuss the technical subtleties of stochastic analysis. We will emphasize the relevant aspects of statistical methods for financial time series, i.e., the selection of appropriate models as well as fitting and validation using real data on exchange rates, interest rates and stock prices.

Assessment methods and criteria

Oral exam on the whole program. The possibility is given to the students to prove computer skills learnt during the course by presenting a brief computer code written in R language.

Teaching aids

Documents

Course not running

Statistics methods for Financial markets

Course code
4S00543
Name of lecturer
Luigi Grossi
Number of ECTS credits allocated
10
Academic sector
SECS-S/03 - ECONOMIC STATISTICS
Language of instruction
Italian
Site
VERONA
Period
2° sem lez dal Feb 18, 2008 al May 24, 2008.

Lesson timetable

Learning outcomes

Globalization and the increasingly complex dependence of financial markets are reasons for using sophisticated mathematical and statistical methods and models to study the main features of financial prices and returns and to evaluate associated volatility and risks.
The course is designed to introduce statistical tools used in empirical research of financial data and to give a comprehensive introduction into important ideas of financial statistics. We do not aim at covering all practically relevant details, and we also do not discuss the technical subtleties of stochastic analysis. We will emphasize the relevant aspects of statistical methods for financial time series, i.e., the selection of appropriate models as well as fitting and validation using real data on exchange rates, interest rates and stock prices.

Assessment methods and criteria

Oral exam on the whole program. The possibility is given to the students to prove computer skills learnt during the course by presenting a brief computer code written in R language.

Teaching aids

Documents


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