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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. |
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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 |
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Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)
1. Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models 6. Introduction to Nonlinearities in Financial Data II: Modelling Volatility 7. Midterm 8. Long Memory in Volatility 9. High-frequency financial models - Microstructure noise |