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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
There will be bi-weekly home assignments based on the methods covered by the lectures. The seminars will be used to presnet the homeworks, discuss the problems, etc.
Final grade consists of three parts: Assignments: 0 - 35% Empirical Project: 0 - 25% Final Exam: 0 - 40% Grading (A-F) - in line with the Dean's decree 17/2018. |
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
J. Baruník and L. Vácha (2007-2019): Lecture Notes Stan Hurn, Vance Martin, Peter Phillips and Jun Yu (2021): Financial Econometric Modelling Walter Enders (2014): Applied Econometric Time Series, 4th edition, New Jersey: Wiley. Peter J. Brockwell, Richard A. Davis (2016): Introduction to Time Series and Forecasting, Berlin: Springer nature. Klaus Neusser (2016): Time Series Econometrics, Berlin: Springer nature. George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinse (2015): Time Series Analysis: Forecasting and Control, 5th edition, New Jersey: Wiley. Ruey S. Tsay (2010): Analysis of Financial Time Series, 3rd edition, New Jersey: Wiley. John Campbell - Andrew W. Lo - A. Craig MacKinlay (1997): The Econometrics of Financial Markets, Princeton: Princeton University Press. James D. Hamilton (1994): Time Series Analysis, Princeton: Princeton University Press. |
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
There will be bi-weekly home assignments based on the methods covered by the lectures. The seminars will be used to presnet the homeworks, discuss the problems, etc.
Final grade consists of three parts: Assignments: 0 - 35% Empirical Project: 0 - 25% Final Exam: 0 - 40% Grading (A-F) - in line with the Dean's decree 17/2018. |
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
Lectures/Seminars
Introduction to Financial Econometrics Properties of Financial Time Series - Assets, Prices, Random Walk, Moving average Models. Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root Linear Models for Financial Time Series - AR, MA, Wold decomposition Nonlinearities in Financial Data - Volatility, EWMA, (G)ARCH Long memory in volatility - FIGARCH, Long memory Stochastic volatility models. Persistence in Time Series: Extended Wold decompositions High-frequency financial models - continuous-time processes High-frequency financial models - Realized Measures High-frequency financial models - HAR, Realized GARCH High-frequency financial models - Asymmetry, Realized (semi) beta Forecasting |
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected. |
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected. |