Campbell – The Econometrics of Financial Markets

Argomenti del programma: 1. Presentazione del corso. Variabili casuali e loro proprietà. Momenti. Distribuzioni condizionate. Momenti condizionali. Legge dei valori attesi iterati. Serie temporali e loro caratteristiche. Natura e caratteristiche dei dati finanziari. Asimmetria, curtosi e volatility clustering. Processi stocastici. Stazionarietà, Nonstazionarietà, random walk e martingale. Test di stazionarietà e del rapporto di varianze.

Argomenti del programma: 1 Introduction. Asset returns. Stylized facts: asymmetry, kurtosis and volatility clustering. Stochastic processes: stationarity, purely random processes. Random walks and martingales. Review of prediction theory. Optimal prediction. (Lectures 1-3) 2 Volatility measurement and analysis: autoregressive Conditional Heteroscedasticity (ARCH): model specification, properties, maximum likelihood estimation, prediction.

Argomenti del programma: Foundations of Financial Time Series: Univariate and multivariate linear models. Conditional Heteroskedasticity and Volatility Modeling: Univariate GARCH frameworks (ARCH, GARCH, EGARCH, GJR-GARCH). Multivariate GARCH specifications (DCC, BEKK). The Predictability of Asset Returns: Efficient Market Hypothesis (EMH) tests and technical trading rules.

Argomenti del programma: 1 Introduction. Asset returns. Stylized facts: asymmetry, kurtosis and volatility clustering. Stochastic processes: stationarity, purely random processes. Random walks and martingales. Review of prediction theory. Optimal prediction. (Lectures 1-3) 2 Volatility measurement and analysis: autoregressive Conditional Heteroscedasticity (ARCH): model specification, properties, maximum likelihood estimation, prediction.