STATISTICAL MODELS FOR FINANCE

Università degli Studi
"G. d'Annunzio"

Chieti - Pescara

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Single discipline educational activity

Course Sheet

Course code:

LM57006

Academic Year of enrolment:

2018

Year of supply:

2018/2019

Type of Course:

Characterising

Degree:

Course of 2nd Cycle Degree in MANAGEMENT, FINANCE AND DEVELOPMENT

Disciplinary Sector:

Statistics

Location:

PESCARA

Credits:

Programme Year:

Professor and Collaborators:

GATTONE Stefano Antonio

Cycle:

Second semester

Hours of classroom activity:

Individual study hours:

153

Prerequisites:

A sound familiarity with undergraduate statistics.

Objectives

Have a good knowledge of mathematical, statistical and computational tools to solve financial problems with an emphasis on pricing and risk management.
The ability to estimate and use financial time series models with the R software.

Contents

1. Review of basic concepts of statistical inference. Review of the linear regression model.
2. Introduction to R
3. Stochastic processes. Correlogram. Random walk. Brownian motion.
4. Stationarity. White noise. The autocorrelation function. Autoregressive Moving Averages Models.
5. Modelling of volatility with conditional heteroschedastic models: ARCH and GARCH.

Extended Syllabus

1. Review of basic concepts of statistical inference. Review of the linear regression model.
2. Introduction to R.
3. Stochastic processes. Correlogram. Random walk. Brownian motion.
4. Stationarity. White noise. The autocorrelation function. Autoregressive Moving Averages Models.
5. Modelling of volatility with conditionl heteroschedastic models: ARCH and GARCH.

Recommended Bibliography

Gallo, G. M., Pacini, B., Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2013 (VII Ristampa).
Di Fonzo, T., Lisi F., Serie storiche economiche, Carocci, 2012.

Teaching Methods

Classes and recitations
R tutorials

Evaluation methods

Verification of learning:

Written exam.

Contacts/More Information

Additional material for exam preparation (Slides, recitations, R routines, datasets) is available on the e-learning platform at https://elearning.unich.it/

Other courses

Course year: 1

BIO-ECONOMICS AND GROWTH MEASUREMENT
6 Credits - Characterising
ECONOMICS OF KNOWLEDGE AND GLOBALIZATION
9 Credits - Characterising
ENTERPRISE ETHICS AND SOCIAL RESPONSIBILITY
6 Credits - Characterising
INNOVATIONS AND DIGITAL ECONOMICS
6 Credits - Characterising
INTERNATIONAL FINANCE
9 Credits - Characterising
LAW OF FINANCIAL MARKETS AND INSTITUTIONS
6 Credits - Characterising
STATISTICAL MODELS FOR FINANCE
9 Credits - Characterising
HISTORY OF FINANCIAL INSTITUTIONS
9 Credits - Related/Supplementary

Course year: 2

ECONOMIC OF THE EUROPEAN UNION
9 Credits - Characterising
ECONOMICS AND PUBLIC FINANCE OF LOCAL ECONOMIC SYSTEMS
9 Credits - Characterising
MANAGEMENT ACCOUNTING
6 Credits - Characterising
URBAN AND REGIONAL ECONOMICS
9 Credits - Related/Supplementary
BANKRUPTCY LAW
9 Credits - Elective Course
BEHAVIORAL ECONOMICS AND FINANCE
9 Credits - Elective Course
COGNITIVE ECONOMICS AND FINANCIAL DECISIONS
9 Credits - Elective Course
ECONOMICS OF ENERGIES SOURCES
9 Credits - Elective Course
FRANCOPHONE CULTURE AND DEVELOPMENT
9 Credits - Elective Course
HISTORY OF ENTREPRENEURSHIP
9 Credits - Elective Course
TOURISM ECONOMICS AND QUALITY MANAGEMENT
9 Credits - Elective Course
FINAL DISSERTATION
15 Credits - Language/Final Examination
[INTERNSHIP AND STAGE
3 Credits

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STATISTICAL MODELS FOR FINANCE