Applied Financial Econometrics


September 2020 A. Monticini

Course details

The course is offered in the spring, in the months of March, April and May. The class meets:

Course aim

This course investigates the main econometric methods as a tool for the quantitative analysis of economic and financial phenomena. The application of econometric models allows measuring variables that are not directly observable, studying their relationships and behavior, testing and comparing alternative theories, as well as forecasting and simulating the effects of different policies. This course heavily emphasizes the importance of applications. A discussion of the main theoretical issues and a systematic analysis of econometric tools are intended as prerequisites for the investigation of a series of problems that are of particular relevance for economic and financial applications. For this reason, the theoretical lectures will be complemented by a systematic series of financial and economic applications through which the student will be in the position to autonomously develop econometric analysis, and perform empirical studies on financial and economic topics.

Course Outline

I plan to cover most of chapters 1, 2, 3, 4, 5, 7, 8 of ETM. Their contents are briefly described below.

Reading

Assessment

There is a written examination based on four sections:

The formal weights will be 50% sections A-C and 50% section D.
Only in June 1st 2021 exam session are available the following four options:


Back to the course website