Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
The course concentrates on the practical use of econometric methods, reviewing the relevant methodology, its use, and the possible alternative modeling approaches. The lectures are supplemented by computer classes, where students can gain hands-on experience in applied econometric analysis. During the course we will especially focus on time series techniques applied to forecasting asset volatility, modeling inflation, exchange rate volatility and other topics that you may regularly encounter in economic and financial literature. The course focuses on following topics in econometrics: OLS, IV, ARIMA, GARCH, VAR, cointegration, filters and limited dependent variables.
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
The course concentrates on the practical use of econometric methods, reviewing the relevant methodology, its use, and the possible alternative modeling approaches. The lectures are supplemented by computer classes, where students can gain hands-on experience in applied econometric analysis. During the course we will especially focus on time series techniques applied to forecasting asset volatility, modeling inflation, exchange rate volatility and other topics that you may regularly encounter in economic and financial literature. The course focuses on following topics in econometrics: OLS, IV, ARIMA, GARCH, VAR, cointegration, filters and limited dependent variables.
Aim of the course -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Students will learn the basics of time series econometrics with an emphasis on how to apply these methods.
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Students will learn the basics of time series econometrics with an emphasis on how to apply these methods.
Course completion requirements -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Grading - in line with the Dean's decree 17/2018, written exam at the end of the semester (60% weight), term paper (40% weight)
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Grading - in line with the Dean's decree 17/2018, written exam at the end of the semester (60% weight), term paper (40% weight)
Literature -
Last update: prof. Roman Horváth, Ph.D. (20.02.2019)
Selected recommended textbooks on applied econometrics:
Brook, C.: Introductory Econometrics for Finance, Cambridge University Press.
Enders, W.: Applied Econometric Time Series, 2nd edition, 2003 Harris, R. and R. Sollis: "Applied Time Series Modelling and Foecasting", 2003 Stewart, K. G.: "Introduction to Applied Econometrics", 2005 Verbeek, M.: ?A Guide to Modern Econometrics?, 2nd edition, 2004 Kratzig, M. and H. Lutkepohl ,?Applied Time Series Econometrics?, 2004 Kocenda, E. and A. Cerny, "Elements of Time Series Econometrics: An Applied Approach", 2007, Karolinum Press
Last update: prof. Roman Horváth, Ph.D. (20.02.2019)
Selected recommended textbooks on applied econometrics:
Brook, C.: Introductory Econometrics for Finance, Cambridge University Press.
Enders, W.: Applied Econometric Time Series, 2nd edition, 2003 Harris, R. and R. Sollis: "Applied Time Series Modelling and Foecasting", 2003 Stewart, K. G.: "Introduction to Applied Econometrics", 2005 Verbeek, M.: ?A Guide to Modern Econometrics?, 2nd edition, 2004 Kratzig, M. and H. Lutkepohl ,?Applied Time Series Econometrics?, 2004 Kocenda, E. and A. Cerny, "Elements of Time Series Econometrics: An Applied Approach", 2007, Karolinum Press
Teaching methods -
Last update: prof. Roman Horváth, Ph.D. (20.02.2019)
Lectures accompanied by seminars in the computer room. The software R will be used during the seminars.
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Lectures accompanied by seminars in the computer room. The software R will be used during the seminars.
Requirements to the exam
Last update: Ing. Monika Hollmannová (22.10.2019)
Grading - in line with the Dean's decree 17/2018.
Written exam at the end of the semester (60% weight)
Term paper (40% weight)
Syllabus -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
1. Introduction 2. OLS and basics 3. Introduction to Time Series 4. ARIMA Modeling 5. GARCH (2 lectures) 6. Introduction to Cointegration 7. Vector Autoregression 8. TSLS, IV
9. Non-linear time series models
10. Limited dependent variable models in finance
11. Time series filters
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
1. Introduction 2. OLS and basics 3. Introduction to Time Series 4. ARIMA Modeling 5. GARCH (2 lectures) 6. Introduction to Cointegration 7. Vector Autoregression 8. TSLS, IV
