Financial Econometrics

Instructor: Roberto Casarin, University Ca' Foscari of Venice

E-mail: r.casarin@unive.it

On evidence: Seminars by dott. Andrea Trovato

Thursday 10th March 2011, 2.30 p.m., Room A3, Santa Chiara, "Quantitative Methods in Asset Management".

Thursday 28th April 2011, 2.30 p.m., Room A3, Santa Chiara, "GARCH models and exchange rates".

Thursday 5th May 2011, 2.30 p.m., Room A3, Santa Chiara, "Markov-switching models I".

Thursday 19th May 2011, 2.30 p.m., Room A3, Santa Chiara, "Markov-switching models II".

ProjectsOffice hour: Monday, 10.30 a.m.-04.00 p.m., Room XIV (San Faustino)

Homeworks

Homeworks Set 1, Marks,Homeworks Set 2, Marks,

Lecture Notes

Laboratory

Dataset and Code

(1) Introduction(1.1) Financial Time Series

(1.2) Campbell, J.Y., Lo, A. W. and MacKinlay, A.C. Ch.1-3Test, Sequential Estimates, Stationarity and Unit Root Process dat1, dat2, dat3 prg1, prg2, prg3, prg4

(2) Mean-Variance Portoflio Model and Efficient Frontier(2.1) Efficient Frontier and Hypothesis Testing Exclusion Test dat1 prg1 (2.2) Appendix on Linear Algebra and Matrix Calculus

(3) Alternative Portfolio Models (3.1) Econometrics and the investment process (3.2) Tracking Error Volatility (3.3) Tactical Asset Allocation and Black and Litterman

(4) Capital Asset Pricing Model (CAPM) (4.1) CAPM and Time Series AnalysisTesting CAPM (4.2) CAPM and Cross Section Analysis (4.3) Appendix on Maximum Likelihood Method (4.4) Intertemporal CAPM

(5) Asset Pricing Theory (APT) (5.1) APT e fattori

(6) Inference on Diffusion Processes (6.1) Diffusion Processes (6.2) Inference for Diffusion Processes dat prg xls (6.3) Inference for Continuous Time Processes

(7) Derivatives Modelling (7.1) Alternative Risk Transfer (7.2) Weather Derivatives (7.3) Weather Time Series Modelling Temperature Time Series dat1 dat2 prg1 WeaR R1 R2

(8) Econometrics and Acturial Mathematics (8.1) Insurance Premium and Updating Rules (8.2) One-period Models (8.3) Multiperiod Models