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17/03/26: MTSM and ECFIN: PS1 due on 01/04/26
10/03/26: MTSM: from 11/03/26 both lectures in Aula II
10/03/26: MTSM and ECFIN: groups in the GDrive
1. Econometria Finanziaria (9 CFU) dal 23/02/26 al 29/05/26
Per ogni comunicazione relativa a questo corso, si prega di scrivere a econometria.fin.sapienza@gmail.com
Ricevimento studenti: su appuntamento
MAR 10:15-11:45, XIV
MER 12:00-13:30, XIII
GIO 12:00-13:30, XIV
L'obiettivo del corso è introdurre gli studenti ai principali metodi di analisi e previsione delle serie storiche univariate in ambito economico e finanziario. Il testo di riferimento è
Guidolin, M., Pedio, M., Essentials of Time Series for Financial Applications, 1st Edition, Academic Press, May 2018.
In particolare, si tratterà di:
i) Modello di regressione lineare (Ch. 1)
ii) Univariate Autoregressive Moving Average (ARMA) Models, (Ch. 2)
iii) Unit Roots and Spurious Regression Problem, (Ch. 4)
iv) Univariate Volatility Modeling: Introduction to ARCH and GARCH , (Ch. 5)
v) Stochastic and Realized Volatility, (Ch. 7 and 10)
La conoscenza della teoria econometrica per le analisi cross-section (Econometria, Prof. Mercatanti) costituisce un prerequisito.
2. Multiple Time Series Modelling (6 CFU) from 23/02/26 to 29/05/26
Please send any email related to this course to econometria.fin.sapienza@gmail.com
Office hours: by appointment
WED 10:15-11:45, II
THU 14:00-15:30, II
The aim of the course is to introduce students to the main methods of analysis and forecasting of multivariate time series in economics and finance. The reference textbook is
Guidolin, M., Pedio, M., Essentials of Time Series for Financial Applications, 1st Edition, Academic Press, May 2018.
In particular, we will cover:
i) Vector Autoregressive Moving Average (VARMA) Models, (Ch. 3)
ii) Cointegration, (Ch. 4)
iii) Multivariate GARCH and Conditional Correlation Models, (Ch. 6)
Knowledge of econometric theory for univariate methods (Econometria Finanziaria, Prof. Franchi) is a prerequisite.
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