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ECONOMIC AND FINANCIAL STATISTICS Single discipline educational activity
Course Sheet Academic Year of enrolment:
Professor and Collaborators:
Hours of classroom activity:
Prerequisites:
Elementary notions of inferential and descriptive statistics.
Objectives
Contents The course relates to two modules. The first one contains a discussion of the stochastic behavior of financial markets. The second one deals with sampling methods from finite populations.
Extended Syllabus Module 1: Statistical analysis of financial markets
. Financial data feeds
. Mark to Market evaluations
. Return measures
. Gaussian and Log-Normal models
. Moments of linear transformations
. Volatility
. Value at Risk measures
.. Delta-Normal VaR
.. RiskMetrics VaR
.. Incremental and Component VaR
. Financial data analytics with R
Module 2: Sampling Theory
. Sampling designs
.. First and second order inclusion probabilities
.. Simple random sampling
. Sampling statistics
.. Horvitz-Thompson estimators
. Sampling strategies
.. Total estimation in a given population
.. Mean estimation in a given population
Recommended Bibliography Lafratta G. (2004), Statistical Methods for the Analysis of Financial Markets, in Italian, Franco Angeli, Milano.
Lecture notes on sampling theory, in Italian.
Methods of Provision
Teaching Methods
Evaluation methods Verification of learning:
Contacts/More Information Students are strongly encouraged to attend the lessons.