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Course, academic year 2019/2020
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Financial Econometrics I - JEM059
Title in English: Financial Econometrics I
Guaranteed by: Institute of Economic Studies (23-IES)
Faculty: Faculty of Social Sciences
Actual: from 2019
Semester: winter
Points: 6
E-Credits: 6
Examination process: winter s.:
Hours per week, examination: winter s.:2/2 Ex [hours/week]
Capacity: 40 / 40 (59)
Min. number of students: unlimited
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.
Mgr. Josef Kurka
Mgr. Lukáš Vácha, Ph.D.
Aim of the course
Last update: doc. PhDr. Jozef Baruník, Ph.D. (20.09.2019)

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. (20.09.2019)

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.

 

Grading

Assignments and Presentations: 0 - 40%

Midterm Exam: 0 - 20% 

Final Exam: 0 -  40% 

 

 
Literature -
Last update: doc. PhDr. Jozef Baruník, Ph.D. (20.09.2019)

Campbell, Lo and MacKinlay (CLM): The Econometrics of Financial Markets,
Princeton, 1997.

Tsay R.S.: Analysis of Financial Time Series, Wiley, 2002.

Hamilton J.C. (HJ): Time Setries Analysis, Princeton, 1994

Evzen Kocenda, Alexander Cerny (2007) Elements of Time Series Econometrics. The
Karolinum Press, UK

Walter Enders (2004) .Applied Econometric Time Series, Second Edition

J. Baruník and L.Vácha (2007-2019): Lecture Notes

Syllabus -
Last update: doc. PhDr. Jozef Baruník, Ph.D. (20.09.2019)

1. Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models

2. Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root

3. Linear Models of Financial Time Series - Moving Average Models, AR, ARMA, ARIMA.

4. Linear Models of Financial Time Series II - Moving Average Models, AR, ARMA, ARIMA.

5. Introduction to Nonlinearities in Financial Data I

6. Introduction to Nonlinearities in Financial Data II: Modelling Volatility

7. Midterm

8. Long Memory in Volatility

9. High-frequency financial models - Microstructure noise

10. High-frequency financial models - Simulation of continuous-time processes

11. High-frequency financial models - Realized Measures

12. High-frequency financial models - Forecasting and Applications

 
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