Sapienza University of Rome, MSc in Financial Risks and data analysis.
Repository for university projects.
Projects:
• Euro stock market correlation (subject: project on R, models for risk and forecasting): The project aim at modelling volatility of a pool of Stock Indexes to estimate the optimal covariance matrix, leading to the construction of the Minimum variance (MwV) and Maximum Expected Return (MwER) portfolios. Finally, both portfolio's VaR (Value at Risk) and ES (Expected Shortfall) have been calculated using several approaches.
• The Effect of Covid-19 pandemic on the energy market (subject: time series, project on R): Conducted VaR forecasting for six energy commodities using both simple GARCH and GARCH-MIDAS (Mixed Data Sampling) models, to capture the typical features of financial data and the effect of Covid-19 pandemic, and then selected the best model by using the Model Confidence Set (MCS) procedure.
• Net Wealth in Italy using a multiple regression approach (subject: advanced statsics, project on R): Analysed the 'Household Finance and Consumption Survey' dataset from the Bank of Italy, by using the Weighted Least Square (WLS) regression to correct heteroscedasticity.
• Influence of Inflation, M1 and GDP on the Eurostoxx50 Index (subject: Econometrics, project on STATA): analysed the presence of long-run relationship between fundamentals and the Euro stock market returns through cointegration and Vector Error Correction (VEC) model, moreover short-run dynamics were examined through impulse response analysis.