Foreign students graduate courses



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Reading List


Verbeek M. (2008) A Guide to Modern Econometrics, 3rd edition, Wiley



Assessment


Written exam


ECONOMETRIA FINANZIARIA

FINANCIAL ECONOMETRICS
9 ECTS




LEVEL

Graduate




YEAR

Second




SEMESTER

first




LECTURER

Eduardo Rossi


COURSE PROGRAM


Static Models

MAXIMUM LIKELIHOOD ESTIMATION. Properties of the maximum likelihood estimators. Classical maximum likelihood tests (Wald, Score, LR).



ASSET PRICING MODELS. SURE model, Estimation and tests of CAPM and APT.



Dynamic Models

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.





EDUCATIONAL AIM

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.








READING LIST


Hamilton J. (1994) Time Series Analysis Princenton University Press

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

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




ASSESSMENT


Written exam



ECONOMIA AMBIENTALE

ENVIROMENTAL ECONOMICS
6 ECTS


LEVEL

Graduate




YEAR

First




SEMESTER

Second




LECTURERS

Alberto Cavaliere
ASSISTANT

Enzo di Giulio






E-MAIL

alberto.cavaliere@unipv.it
enzo.digiulio@enicorporateuniversity.eni.it




COURSE PROGRAM

1.The economic analysis of environmental problems: social efficiency and the environment, environmental costs and externalities, the Coase theorem.

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





EDUCATIONAL AIM

This course aims to analyse the theoretical foundations of environmental economics in order to illustrate the driving principles of environmental policies. Global environmental issues will also be considered, with particular reference to the case of climate change and to examples of policies adopted to face it (the Kyoto Protocol and Voluntary Agreements)



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