Foreign students graduate courses

Reading List

STATIONARY UNIVARIATE MODELS. Difference equations, Wold decomposition theorem, ARMA models and Box-Jenkins methodology, Model Selection, maximum likelihood estimation, Forecasting methodology. Kalman filter.

NONSTATIONARY UNIVARIATE MODELS. Deterministic and stochastic trend models, Unit root tests.

STATIONARY MULTIVARIATE MODELS. Vector autoregression (VAR) models, Granger causality, Impulse response functions, Variance decompositions, Structural VAR models.

NONSTATIONARY MULTIVARIATE MODELS. Spurious regression, Cointegration, Granger representation theorem, Vector error correction models (VECMs), Testing for cointegration, Estimating the cointegrating rank, Estimating cointegrating vectors.

INTERTEMPORAL ASSET PRICING MODELS. GMM estimation technique and related inference procedures. Applications.

VOLATILITY ESTIMATION.GARCH models. Stochastic volatility models. Nonparametric volatility estimation. Volatility forecasting. Risk management applications.

CONTINUOUS-TIME MODELS. Estimation of Stochastic Differential Equations. Term-structure models. Option pricing models.

This course covers the econometric techniques used most often in the analysis of financial markets and how such techniques are applied to actual market data.

Jondeau, Poon, Rockinger (2007) Financial Modeling under Non-Gaussian Distributions Springer

Taylor S. (2005) Asset Price Dynamics, Volatility, and Prediction Princenton University Press

ASSESSMENT

Enzo di Giulio

2.The economic instruments of environmental policy: environmental taxes, subsidies, liability for environmental arms, the market for pollution rights

3.International Environmental Economics: global environmental issues and game theory

4.Growth and sustainable development

5.Economic valuation of environmental goods

6.Climate change and the Kyoto Protocol

7.Voluntary approaches