TEACHING 24/25

20/05/25 ECFIN: Jensen and Rahbek (2004) papers on ARCH(1) and GARCH(1,1) in THE GDRIVE

15/05/25 MTSM: Johansen (1995) on MLE in VECM in THE GDRIVE

15/05/25 ECFIN: Engle (1982) on ARCH in THE GDRIVE

14/05/25 ECFIN: Phillips (1986) on spurious regressions in THE GDRIVE

12/05/25 ECFIN: NO CLASS ON 13/05

05/05/25 ECFIN & MTSM: PS2 IN THE GDRIVE DEADLINE CLASS OF 15/05/25

30/04/25 ECFIN: leggere Proposition 17.2 e 17.3 in Hamilton_Time_Series_Analysis_p260.pdf in THE GDRIVE

30/04/25 MTSM: READ I0.pdf and Strang_1993_AMM.pdf in THE GDRIVE

16/04/25 ECFIN & MTSM: NEXT CLASS on 29/04/25, PS2 08-15/05/25

07/04/25 ECFIN & MTSM: NEXT CLASS on 10/04/25

03/04/25 MTSM: Students'initiative in memory of Ilaria Sula, today al 2PM at p.le A.Moro, NO CLASS

01/04/25 ECFIN: CORRETTO TYPOS in PS1 IN THE GDRIVE

21/03/25 ECFIN & MTSM: PS1 IN THE GDRIVE DEADLINE CLASS OF 02/04/25

11/03/25 ECFIN & MTSM: PS1 25/03-02/04/25

27/02/25 ECFIN: Formazione gruppi da 5 (entro 06/03/25): 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

27/02/25 MTSM: Formation of groups of 4 (deadline 06/03/25): 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

and in cc: ADDRESS1, ADDRESS2, ADDRESS3, ADDRESS4

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 12:30-14:00, 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 10:15-11:45, VI

THU 14:00-15:30, VI

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.