Title: FINANCIAL ECONOMETRICS: MODELLING VOLATILITY AND CORRELATION
PROF THEODORE PANAGIOTIDIS

15-16 January 2025.

COURSE OUTLINE
This course will cover models for volatility, historical volatility, implied volatility models, autoregressive volatility, ARCH models, GARCH models, TGARCH models, EGARCH models, tests for asymmetries in volatility, GARCH in mean, volatility forecasting, stochastic volatility, multivariate GARCH models, BEKK, DCC, extension to the basic multivariate GARCH model. 

June 6 2024

Ugo Colombino & Nizamul Islam, 

Lost Jobs and Optimal Tax-Transfer Reforms.

Professor Juan Paez_Farrell

Date: 14-16 May 2024 

Venue and Programme to be announced 

Professor Sofronis Clerides 

29 April - 2 May 2024

Venue: TBA

Module Convenors:

Prof. Pietro Terna (Unito) e Dr. Eleonora Priori (Sant'Anna, Pisa)

Lectures on 7  February 2024

7.2A 11-13