TEACHING 23/24
01/05/24 ECFIN and MTSM: schedule for PS1 correction in the GDRIVE
30/04/24 ECFIN and MTSM: grades PS1 in the GDRIVE
18/04/24 ECFIN and MTSM: corrections in red in PS1 in the GDRIVE
15/04/24 ECFIN and MTSM: PS1 in the GDRIVE
15/04/24 ECFIN and MTSM: exam rules in the GDRIVE, NO CLASSES on April 16-18
28/03/24 ECFIN: Martedì 16 aprile 2024, alle ore 10, in aula 14 (edificio CU007), il Presidente del CdS in Scienze attuariali e finanziarie (SAF), prof. Fabio Grasso, incontra gli studenti immatricolati nell’a. a. 2023-2024
21/03/24 MTSM: please check your groups in the GDRIVE, some updates
18/03/24 ECFIN and MTSM: Wednesday 20/03/24 in Aula XIII at 12:15, invited speaker Dott.ssa Valeria Valletta (Banca d'Italia)
15/03/24 ECFIN and MTSM: please read Granger and Newbold (1974) in additional material in the GDRIVE
15/03/24 MTSM: please read CH. 3 and 4 of the book before next week
15/03/24 ECFIN: please read CH. 2 and 4 of the book before next week
14/03/24 ECFIN and MTSM: please check your groups in the GDRIVE, some updates
12/03/24 ECFIN: G12 added to groups in the GDRIVE
11/03/24 ECFIN and MTSM: PSET dates: PS1 17-24 April, PS2 15-22 May
11/03/24 ECFIN and MTSM: please check your groups in the GDRIVE
29/02/24 ECFIN: Formazione gruppi (entro 08/03/24): una persona per gruppo scriva una email ad econometria.fin.sapienza@gmail.com con oggetto ECFIN mettendo in cc tutti gli indirizzi dei membri del gruppo e nel testo solo i nomi usando il seguente formato
NOME1 COGNOME1
NOME2 COGNOME2
NOME3 COGNOME3
NOME4 COGNOME4
NOME5 COGNOME5
e in cc: INDIRIZZO1, INDIRIZZO2, INDIRIZZO3, INDIRIZZO4, INDIRIZZO5
29/02/24 MTSM: Group formation (deadline 08/03/24): one person per group writes an email to econometria.fin.sapienza@gmail.com with subject MTSM writing in cc all the addresses of the members of the group and in the text only their names in the following format
NAME1 SURNAME1
NAME2 SURNAME2
NAME3 SURNAME3
NAME4 SURNAME4
NAME5 SURNAME5
and in cc: ADDRESS1, ADDRESS2, ADDRESS3, ADDRESS4, ADDRESS5
29/02/24 ECFIN and MTSM: NO CLASSES on 5,6,7 March.
1. Econometria Finanziaria (9 CFU) dal 26/02/24 al 31/05/24
MAR 10:00-11:30, XIV
MER 12:15-13:45, XIII
GIO 12:20-13:50, 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) dal 26/02/24 al 31/05/24
WED 10:00-11:30, VI
THU 14:00-15:30, XIII
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.