The objective of the course is to introduce advanced time series methods and high frequency financial econometrics. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Financial Econometrics II course.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
The objective of the course is to introduce advanced time series methods and high frequency financial econometrics. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Financial Econometrics II course.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
Podmínky zakončení předmětu -
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: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
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: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
Literatura -
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: Baruník Jozef, doc. PhDr., 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: Baruník Jozef, doc. PhDr., Ph.D. (14.09.2020)
Požadavky ke zkoušce -
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: Baruník Jozef, doc. PhDr., 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: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
Sylabus -
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
12. High-frequency financial models - Forecasting and Applications
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (14.09.2020)
Vstupní požadavky -
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
Požadavky k zápisu -
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (28.01.2025)
