SubjectsSubjects(version: 916)
Course, academic year 2022/2023
   Login via CAS
Financial Econometrics I - JEM059
Title: Financial Econometrics I
Czech title: Financial Econometrics I
Guaranteed by: Institute of Economic Studies (23-IES)
Faculty: Faculty of Social Sciences
Actual: from 2021
Semester: summer
E-Credits: 6
Examination process: summer s.:
Hours per week, examination: summer s.:2/2, Ex [HT]
Capacity: unlimited / 80 (unknown)
Min. number of students: unlimited
Virtual mobility / capacity: no
State of the course: taught
Language: English
Teaching methods: full-time
Note: course can be enrolled in outside the study plan
enabled for web enrollment
priority enrollment if the course is part of the study plan
Guarantor: Mgr. Lukáš Vácha, Ph.D.
doc. PhDr. Jozef Baruník, Ph.D.
Teacher(s): doc. PhDr. Jozef Baruník, Ph.D.
PhDr. František Čech, Ph.D.
Mgr. Josef Kurka
Mgr. Lukáš Vácha, Ph.D.
Class: Courses for incoming students
Annotation -
Last update: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
The objective of the course is to introduce advanced time series methods and high frequency financial econometrics. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Financial Econometrics II course.
Course completion requirements -
Last update: 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.   

Literature -
Last update: 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.

Requirements to the exam -
Last update: 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. 

Syllabus -
Last update: 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

Entry requirements -
Last update: 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.

Registration requirements -
Last update: 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.

 
Charles University | Information system of Charles University | http://www.cuni.cz/UKEN-329.html