|
Files | Comments | Added by | |
![]() |
Lecture_cointegration_2022.pdf | Lecture 9 Cointegration | PhDr. Jaromír Baxa, Ph.D. |
![]() |
Lecture_VAR_2022.pdf | Lecture 8 | PhDr. Jaromír Baxa, Ph.D. |
|
||
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
|
|
||
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. (17.02.2021)
Grading - in line with the Dean's decree 17/2018. Research proposal at the end of the semester (60% weight) Term paper (40% weight)
The details regarding the research proposal and term paper are available in Lecture 1.pdf and in separate pdf files posted (during the semester) in the SIS. |
|
||
Last update: PhDr. Petr Bednařík, Ph.D. (05.06.2020)
Selected recommended textbooks on applied econometrics: Brook, Ch.: Introductory Econometrics for Finance, New York: Cambridge University Press.
|
|
||
Last update: prof. Roman Horváth, Ph.D. (15.02.2022)
Lectures accompanied by seminars in the computer room. The software R will be used during the seminars. This semester we teach in the hybrid form. The students have two options: 1) they come to the lecture room 314 in Opletalova 26 building or 2) they join the lecture and seminar online using the MS Teams (please see the instructions below). INSTRUCTIONS: You can either join the class/group in MS teams or use a direct link to join the meeting. |
|
||
Last update: prof. Roman Horváth, Ph.D. (17.02.2021)
Grading - in line with the Dean's decree 17/2018. Research proposal at the end of the semester (60% weight) Term paper (40% weight) The details regarding the research proposal and term paper are available in Lecture 1.pdf and in separate pdf files posted (during the semester) in the SIS. |
|
||
Last update: Mgr. Lenka Nechvátalová (14.02.2022)
2021/2022: Link to join the lectures and seminars (Microsoft teams): https://teams.microsoft.com/l/meetup-join/19%3a7oNBbtlJfk0pJGdBD6KUgz_YbUkWyLJFsgaamz9p7d01%40thread.tacv2/1644839682361?context=%7b%22Tid%22%3a%22e09276da-f934-4086-bf08-8816a20414a2%22%2c%22Oid%22%3a%2290413cdc-137d-4c39-a5d1-2f6fb3119fb1%22%7d
Code to join MS teams class: (using account student_number@cuni.cz) jcz184d
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 12. Networks 13. Guest lecture |