Master’s degree in Banking and Finance

Financial statistics

Course code
4S00489
Name of lecturer
Luigi Grossi
Coordinator
Luigi Grossi
Number of ECTS credits allocated
9
Academic sector
SECS-S/03 - ECONOMIC STATISTICS
Language of instruction
Italian
Site
VERONA
Period
primo semestre dal Sep 24, 2012 al Dec 21, 2012.

Lesson timetable

primo semestre

Not inserted.

Learning outcomes

The goal of the course is to introduce students in modern econometric and time series tools for analyzing and modeling of quantitative financial information.
The course provides students with theoretical and practical knowledge of the statistical and computational skills needed for the creation, implementation, and evaluation of the time series models used by the financial sector to manage risk and develop investment strategies.

Syllabus

1. Prices, returns stock indexes

2. Introduction to technical analysis

3. Stylized facts of financial returns

4. ARMA models for financial returns

5. Conditional volatility models


Suggested book
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2002.
- Additional teaching notes will be distributed duting the course.

Types of classes: lectures, seminars and exercises

Assessment methods and criteria

Written exam. Oral exam is optional.

Financial statistics

Course code
4S00489
Name of lecturer
Luigi Grossi
Coordinator
Luigi Grossi
Number of ECTS credits allocated
9
Academic sector
SECS-S/03 - ECONOMIC STATISTICS
Language of instruction
Italian
Site
VERONA
Period
primo semestre dal Sep 24, 2012 al Dec 21, 2012.

Lesson timetable

primo semestre

Not inserted.

Learning outcomes

The goal of the course is to introduce students in modern econometric and time series tools for analyzing and modeling of quantitative financial information.
The course provides students with theoretical and practical knowledge of the statistical and computational skills needed for the creation, implementation, and evaluation of the time series models used by the financial sector to manage risk and develop investment strategies.

Syllabus

1. Prices, returns stock indexes

2. Introduction to technical analysis

3. Stylized facts of financial returns

4. ARMA models for financial returns

5. Conditional volatility models


Suggested book
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2002.
- Additional teaching notes will be distributed duting the course.

Types of classes: lectures, seminars and exercises

Assessment methods and criteria

Written exam. Oral exam is optional.


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