Poslední úprava: 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.
Poslední úprava: 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.
Literatura -
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)
Walter Enders (2014): Applied Econometric Time Series, 4th edition, Wiley.
Peter J. Brockwell, Richard A. Davis (2016): Introduction to Time Series and Forecasting, Springer.
Klaus Neusser (2016): Time Series Econometrics, Springer.
George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinse (2015), Time Series Analysis: Forecasting and Control, 5th edition, Wiley.
Ruey S. Tsay (2010): Analysis of Financial Time Series, 3rd edition, Wiley.
Campbell, Lo and MacKinlay (1997): The Econometrics of Financial Markets, Princeton.
James D. Hamilton (1994): Time Series Analysis, Princeton.
J. Baruník and L.Vácha (2007-2019): Lecture Notes
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)
Walter Enders (2014): Applied Econometric Time Series, 4th edition, Wiley.
Peter J. Brockwell, Richard A. Davis (2016): Introduction to Time Series and Forecasting, Springer.
Klaus Neusser (2016): Time Series Econometrics, Springer.
George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinse (2015), Time Series Analysis: Forecasting and Control, 5th edition, Wiley.
Ruey S. Tsay (2010): Analysis of Financial Time Series, 3rd edition, Wiley.
Campbell, Lo and MacKinlay (1997): The Econometrics of Financial Markets, Princeton.
James D. Hamilton (1994): Time Series Analysis, Princeton.
J. Baruník and L.Vácha (2007-2019): Lecture Notes
Sylabus
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)
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
