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Financial econometrics - NMFP401

Title:	Finanční ekonometrie
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2023
Semester:	winter
E-Credits:	4
Hours per week, examination:	winter s.:2/1, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech, English
Teaching methods:	full-time
Is provided by:	NMEK511

Guarantor:	doc. RNDr. Šárka Hudecová, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinné
Classification:	Mathematics > Math. Econ. and Econometrics
Incompatibility :	NMEK511
Is incompatible with:	NMEK511
Is pre-requisite for:	NMFP402
In complex pre-requisite:	NMFP406
Is complex co-requisite for:	NMST545

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Annotation -

Econometric generalizations of linear regression (heteroscedasticity, serial autocorrelation). Special regression problems in econometrics (multicollinearity, nonlinear regression, model stability).

Last update: Branda Martin, doc. RNDr., Ph.D. (04.12.2020)

Aim of the course -

The students should master the most important methods of modern econometrics so that they are capable to apply them in practice.

Last update: Hudecová Šárka, doc. RNDr., Ph.D. (22.05.2025)

Course completion requirements -

To complete the course, it is necessary to obtain credit from the exercises and to successfully pass the exam.

Credit:

There will be 2 homework assignments and 2 peer reviews. A total of 10 points can be earned (4 points for each assignment and 1 point for each review). To obtain credit, at least 7 points must be earned.

Provided that the student submits both assignments and both reviews on time, and their total score falls within the interval [5, 7) points, it will be possible to revise and resubmit one of the items.

Due to the nature of the course assessment, repeating the credit evaluation is not possible.

Exam:

The exam requirements correspond to the course syllabus as presented during the lectures. It is necessary to know all essential definitions, theorems, and basic proofs. Additionally, the ability to apply the theory to concrete examples is required. The exam may include both written and oral parts.

Obtaining credit is a prerequisite for taking the exam.

Last update: Hudecová Šárka, doc. RNDr., Ph.D. (22.05.2025)

Literature -

Green, W.H (2011): Econometric Analysis. Prentice Hall, New Yersey (7. vydání)

Wooldridge, J.M. (2020): Introductory Econometrics" A Modern Approach. Cengage, Boston (7. vydání).

Cipra, T. (2013): Finanční ekonometrie. Ekopress, Praha (2.vydání)

Last update: Hudecová Šárka, doc. RNDr., Ph.D. (13.09.2023)

Teaching methods -

Lecture + exercises.

Last update: Zichová Jitka, RNDr., Dr. (23.05.2022)

Requirements to the exam -

The requirements for the oral part of the exam correspond to the course syllabus as presented during the lectures. The exam may include both written and oral parts.

Last update: Hudecová Šárka, doc. RNDr., Ph.D. (22.05.2025)

Syllabus -

I. Summary of linear regression.

II. Regression for heteroscedastic data.

III. Time series regression.

IV. Some special regression problems.

Last update: Hudecová Šárka, doc. RNDr., Ph.D. (13.09.2023)

Entry requirements -

Basic knowledge of mathematical statistics and linear regression. Ability to solve numerically practical projects in R system.

Last update: Hudecová Šárka, doc. RNDr., Ph.D. (16.09.2025)