First cycle
degree courses
Second cycle
degree courses
Single cycle
degree courses
Faculty of Statistical Sciences
STATISTICS ECONOMICS AND FINANCE
Course unit
ECONOMETRICS OF FINANCIAL MARKETS
SSM0013950, A.A. 2013/14

Information concerning the students who enrolled in A.Y. 2011/12

Information on the course unit
Degree course First cycle degree in
STATISTICS ECONOMICS AND FINANCE
SS1449, Degree course structure A.Y. 2009/10, A.Y. 2013/14
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Degree course track PROFESSIONALIZZANTE [007PD]
Number of ECTS credits allocated 8.0
Type of assessment Mark
Course unit English denomination ECONOMETRICS OF FINANCIAL MARKETS
Website of the academic structure http://www.stat.unipd.it/risorse/SEF
Department of reference Department of Statistical Sciences
Mandatory attendance No
Language of instruction Italian
Branch PADOVA
Single Course unit The Course unit CANNOT be attended under the option Single Course unit attendance
Optional Course unit The Course unit can be chosen as Optional Course unit

Lecturers
Teacher in charge MASSIMILIANO CAPORIN SECS-S/03

ECTS: details
Type Scientific-Disciplinary Sector Credits allocated
Educational activities in elective or integrative disciplines SECS-P/05 Econometrics 8.0

Mode of delivery (when and how)
Period Second trimester
Year 3rd Year
Teaching method frontal

Organisation of didactics
Type of hours Credits Hours of
teaching
Hours of
Individual study
Shifts
Laboratory 2.0 14 36.0 No turn
Lecture 6.0 42 108.0 No turn

Calendar
Start of activities 08/01/2014
End of activities 15/03/2014

Examination board
Board From To Members of the board
7 Commissione a.a. 2015/2016 01/10/2015 30/09/2017 CAPORIN MASSIMILIANO (Presidente)
CAPPUCCIO NUNZIO (Membro Effettivo)
WEBER GUGLIELMO (Membro Effettivo)
6 Commissione a.a. 2014/2015 01/10/2014 30/09/2015 CAPORIN MASSIMILIANO (Presidente)
CAPPUCCIO NUNZIO (Membro Effettivo)
CERBIONI FABRIZIO (Membro Effettivo)
WEBER GUGLIELMO (Membro Effettivo)
5 a.a. 2013/2014 01/10/2013 30/03/2015 CAPORIN MASSIMILIANO (Presidente)
CAPPUCCIO NUNZIO (Membro Effettivo)
WEBER GUGLIELMO (Membro Effettivo)

Syllabus
Prerequisites: None.
Examination methods: For students attending the course: group work leading to a report or a presentation that will be discussed at an oral exam.

For students non attending the course: a written report, its discussion, and an oral exam over the course topics.

The report will contain empirical applications of the methods presented during the course. The elements to be included in the report will be discussed the first lecture of the course. The data will be assigned by the lecturer.
Assessment criteria: Coherence of the report/presentation with the outline provided.
Interaction between group members.
Knowledge of the entire content of the report/presentation.
Inclusion of analyses and comments innovative with respect to the baseline cases considered during the course.
Course unit contents: The course will consider the following topics:
- Introduction: financial assets, financial markets, analysis of financial asset prices and returns;
- The efficient fronties: definition and inference;
- The Capital Asset Pricing Model: theory, time series and cross-section analysis;
- Using CAPM for portfolio management and the estimation of equilibrium returns;
- Factor models and portfolio management;
- Monitoring and analysing portfolio performances.
The course will give students the thoeretical instruments associated with the previous points. These instruments will be empirically applied in computer lab sessions using the Excel software.
Planned learning activities and teaching methods: Lectures in class and in the computer room
Additional notes about suggested reading: Lecture notes available on-line.
Textbooks (and optional supplementary readings)
  • Pastorello S., Rischio e Rendimento. --: Il Mulino, 2001. Cerca nel catalogo