The goal of the course is to introduce student 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.
1. Prices and stock indexes
2. Stylized facts of financial returns
3. Linear and non-linear models for financial returns
4. Volatility models
5. Elements of forecasting
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2002.
- Bee M., Santi F., Finanza Quantitativa con R, Apogeo, 2013
Types of classes: lectures, seminars and exercises
Written exam. Oral exam is optional.