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Università degli Studi di Parma Università degli Studi di Parma
Second cycle degree course in
Finance and risk management
Università degli Studi di Parma
Department of Economics and Management

COMPUTATIONAL AND STATISTICAL METHODS FOR FINANCE - UNIT 2
cod. 1001859

Academic year 2010/11
2° year of course - Second semester
Professor
Academic discipline
Statistica economica (SECS-S/03)
Field
Attività formative affini o integrative
Type of training activity
Related/supplementary
36 hours
of face-to-face activities
5 credits
hub: PARMA
course unit
in - - -
lectures timetable unavailable
exam calls

Integrated course unit module: COMPUTATIONAL AND STATISTICAL METHODS FOR FINANCE

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Learning objectives

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Prerequisites

none

Course unit content

1) An Overview of the empirical regularities observed in the series of financial returns
Form of distribution, time dependence and volatility clustering.
2) Stochastic processes for financial returns series
Overview of the concept of the stochastic process. Moments of stochastic process and their estimation. Some types of stochastic process: white noise, random walk, autoregressive, moving average. Various phases of the Box-Jenkins method: preliminary treatment, identification, estimation, validation
3) Models for the analysis and forecasting volatility of financial returns series
Concept of volatility. Volatility models. ARCH and GARCH models.
4) Some additions
Work to assess the smoothing goodness of prediction and assessment of market risk (Value at Risk). The exponential
A number of sessions will be held in the computer lab on real financial time series using the Eviews program

Full programme

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Bibliography

Recommended texts : Handouts on all topics covered in the course (available at the Faculty photocopy centre). Further reading: BUZZIGOLI L., Modelli di analisi delle serie temporali finanziarie. Rassegna ed applicazioni di modelli di tipo ARCH, Dipartimento Statistico, Università di Firenze, 1994.DI FONZO T., LISI F., Complementi di statistica economica. Analisi delle serie storiche univariate, Cleup, Padova, 2000. FRANSES P. H., VAN DIJK D., Non linear time series models in empirical finance, Cambridge University Press, Cambridge, 2000. HAMILTON J., Econometria delle serie storiche, Translation by Sitzia B., Monduzzi Editore, 1995. MILLS T. C., The econometric modelling of financial time series, Cambridge University Press, Cambridge, 1999

Teaching methods

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Assessment methods and criteria

oral

Other information

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