Facoltà di Economia

Aggiornato A.A. 2020-2021

1. Introduction
   Asset returns. Stylized facts: asymmetry, kurtosis and volatility clustering. Stochastic processes: stationarity, purely random processes (white noise). Random walks, with and without drifts.
2. Review of prediction theory: forecasting schemes, forecast evaluation, forecast with nonstationary models: exponential smoothing.
3. Volatility measurement and analysis
   Autoregressive Conditional Heteroscedasticity (ARCH) models: specification, properties, maximum likelihood estimation, prediction. Extensions: ARCH in mean.
   Generalized ARCH models and extensions: Integrated GARCH, Exponential GARCH models, GJR GARCH. Stochastic Volatility models
4. Multivariate GARCH models. VECH, diagonal VECH and BEKK. 
5. Switching and state space models
6. Risk measurement: Value at Risk and expected shortfall.

Aggiornato A.A. 2015-2016

The course will cover three main topics

1. MIDAS: MIxed DAta Sampling. Introduction. Forecasting with mixed (and high) frequency data.

2. Forecast evaluation: Introduction: schemes, number of observations, in vs out of sample, measures of accuracy (MSFE, MAFE, forecast encompassing).

Comparing small number of models: nested and non-nested models

Comparing large number of models.

3. Econometrics for option prices: Estimation of parameters for underlying stochastic process. Irregularly sampled data, relevance of sample frequency and sample span for estimation of the parameters of interest.

Aggiornato A.A. 2014-2015

The course will cover three main topics:

1.     MIxed DAta Sampling (MIDAS): Introduction, estimation, properties, examples. Forecasting with mixed (and high) frequency data.
2.     Forecast accuracy. Introduction: schemes, number of observations, why out of sample, measures of accuracy (MSFE, MAFE, forecast encompassing). Comparing small number of models: nested and non-nested models Comparing large number of models. Applications: forecasts of Business Cycle, Exchange Rates, Interest rates.
3.     Econometrics for option prices.