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Time Series - NMFP404

Title:	Časové řady
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2022
Semester:	summer
E-Credits:	8
Hours per week, examination:	summer s.:4/2, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Is provided by:	NMST414

Guarantor:	prof. RNDr. Tomáš Cipra, DrSc. doc. RNDr. Šárka Hudecová, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinné
Classification:	Mathematics > Financial and Insurance Math.
Co-requisite :	NMFP403
Incompatibility :	NMST414, NMST537
Interchangeability :	NMST537
Is incompatible with:	NMST414

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Annotation -

Basic methods of time series analysis and their applications, time series decomposition and adaptive techniques, Box-Jenkins methodology including ARIMA and seasonal models, multivariate time series (vector autoregression, Kalman filter), financial time series (models of volatility and nonlinear in mean). Requirements: Basic knowledge of statistics.

Last update: Branda Martin, doc. RNDr., Ph.D. (05.12.2020)

Aim of the course -

The students should master the most important methods of practical time series analysis so that they are capable to apply them in practice.

Last update: Zichová Jitka, RNDr., Dr. (20.05.2022)

Course completion requirements -

Course credit requirements:

1. 3 accepted homeworks in accordance with the published requirements and tasks.

2. 3 reviews of homeworks of other students in accordance with the published requirements and tasks.

3. Obtaining the course credit is not a necessary condition to participate in the exam.

Exam:

1. Possibility of written exam test: 10 questions covering the course (only one term for this test at the end of semester).

2. Otherwise the oral exam with requirements corresponding to the syllabus of the course during the exam period in accordance with the exam regulations on the Faculty.

3. Obtaining the course credit is not a necessary condition to participate in the exam.

Last update: Zichová Jitka, RNDr., Dr. (14.05.2025)

Literature -

Cipra, T.: Analýza časových řad s aplikacemi v ekonomii. SNTL/ALFA, Praha 1986

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

Cipra, T.: Time Series in Economics and Finance. Springer, Cham 2020

Last update: Cipra Tomáš, prof. RNDr., DrSc. (04.12.2020)

Teaching methods -

Lecture + exercises.

Last update: Zichová Jitka, RNDr., Dr. (20.05.2022)

Requirements to the exam -

Exam:

1. Possibility of written exam test: 10 questions covering the course (only one term for this test at the end of semester).

2. Otherwise the oral exam with requirements corresponding to the syllabus of the course during the exam period in accordance with the exam regulations on the Faculty.

3. Obtaining the course credit is not a necessary condition to participate in the exam.

Last update: Zichová Jitka, RNDr., Dr. (14.05.2025)

Syllabus -

I. Classification of random processes.

II. Decomposition methods: 1. Trend. 2. Seasonality and periodicity. 3. Tests of randomness.

III. Box-Jenkins methodology 1. ARMA models ARMA 2. Identification, estimation, verification and prediction. 3. ARIMA and seasonal models.

IV. Multivariate time series (vector autoregression, Kalman filter).

V. Financial time series: 1. Models of volatility (GARCH). 2. Models nonlinear in mean.

Last update: Cipra Tomáš, prof. RNDr., DrSc. (04.12.2020)

Entry requirements -

Basic knowledge of mathematical statistics, theory of probability and random processes. Ability to solve numerically practical projects in a chosen software system.

Last update: Zichová Jitka, RNDr., Dr. (09.05.2025)