---

Financial Econometrics (Econometria dei Mercati Finanziari) Roberto Casarin, University of Brescia E-mail: casarin@eco.unibs.it
On evidence: Students Workshop on Monday 23rd Nov 2009, 10.00 a.m., Room Biblioteca in San Faustino.
Programme
Projects
Office hour: Thuesday, 10.30 a.m.-04.00 p.m., Room XIV (San Faustino)
Lecture Notes	Laboratory	Dataset and Code
(1) Introduction
(1.1) Financial Time Series	Test, Sequential Estimates, Stationarity and Unit Root Process	dat1 dat2 dat3 prg1 prg2 prg3 prg4
(2) Mean-Variance Portoflio Model and Efficient Frontier
(2.1) Efficient Frontier and Hypothesis Testing	Exclusion Test	dat1 prg1
(2.2) Appendix on Linear Algebra and Matrix Calculus
(3) Alternative Portfolio Models
(3.1) Econometrics and the investment process
(3.2) Tracking Error Volatility
(3.3) Tactical Asset Allocation and Black and Litterman
(4) Capital Asset Pricing Model (CAPM)
(4.1) CAPM and Time Series Analysis	Testing CAPM
(4.2) CAPM and Cross Section Analysis
(4.3) Appendix on Maximum Likelihood Method
(4.4) Intertemporal CAPM
(5) Asset Pricing Theory (APT)
(5.1) APT e fattori
(6) Inference on Diffusion Processes
(6.1) Diffusion Processes
(7) Derivatives Modelling
(7.1) Alternative Risk Transfer
(7.2) Weather Derivatives
(7.3) Weather Time Series Modelling	Temperature Time Series	dat1 dat2 prg1 WeaR R1 R2
(8) Econometrics and Acturial Mathematics
(8.1) Insurance Premium and Updating Rules
(8.2) One-period Models
(8.2) Multiperiod Models
Homeworks
Homeworks Set 1 (28/09/2009), Marks
Homeworks Set 2 (14/10/2009), Marks