Quantitative Finance II - JEM061

• Title: Quantitative Finance II
• Guaranteed by: Institute of Economic Studies (23-IES)
• Faculty: Faculty of Social Sciences
• Actual: from 2016 to 2018
• Semester: summer
• E-Credits: 6
• Examination process: summer s.:
• Hours per week, examination: summer s.:2/2, Ex [HT]
• Capacity: 20 / 20 (22)
• Min. number of students: unlimited
• 4EU+: no
• 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: doc. PhDr. Jozef Baruník, Ph.D.; Mgr. Lukáš Vácha, Ph.D.
• Teacher(s): doc. PhDr. Jozef Baruník, Ph.D.; Mgr. Luboš Hanus, Ph.D.; Mgr. Lukáš Vácha, Ph.D.
• Class: Courses for incoming students

Literature

1.    Beran, J. (1994): Statistics for Long - Memory Processes. New York, Chapman and Hall. 

2.    Percival, D. B., Walden, A. T. (2000), Wavelet Methods for Time series Analysis. Cambridge University Press. 

3.    Ramsey, J. B. (2002), Wavelets in economics and finance: Past and future. Studies in Nonlinear Dynamics & Econometrics, 3, 1. 

4.    Samorodinsky, G. (2006) Long Range Dependence, In Foundations and Trends in Stochastic Systems, Vol. 1, No. 3 163–257.

5.    Aguiar-Conraria, L., Martins, M. M., & Soares, M. J. (2012). The yield curve and the macro- economy across time and frequencies. Journal of Economic Dynamics and Control.

6.    Gencay, R., & Signori, D. (2015). Multi-scale tests for serial correlation. Journal of Econometrics, 184(1), 62-80.

7.    + Lecture notes 

 

Last update: Bednařík Petr, PhDr., Ph.D. (06.06.2020)

Syllabus

Main topics:
1. Introduction (non-linear processes, long memory, self-similarity)
2. Introduction to frequency domain (2 Lectures) Fourier transform, Parseval's theorem
3. Advanced spectral techniques: Estimation of the Spectrum, Periodogram, Correlogram, Coherency spectrum
4. Filters
5. Long memory (2 Lectures)
6. Wavelets (2 Lectures)
7. Recent applications of spectral methods in finance

Last update: Čuprová Michaela, Mgr. (07.06.2020)