Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
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: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
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.
Podmínky zakončení předmětu -
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. (11.02.2022)
J. Baruník and L. Vácha (2007-2019): Lecture Notes
Stan Hurn, Vance Martin, Peter Phillips and Jun Yu (2021): Financial Econometric Modelling
Walter Enders (2014): Applied Econometric Time Series, 4th edition, New Jersey: Wiley.
Peter J. Brockwell, Richard A. Davis (2016): Introduction to Time Series and Forecasting, Berlin: Springer nature.
Klaus Neusser (2016): Time Series Econometrics, Berlin: Springer nature.
George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinse (2015): Time Series Analysis: Forecasting and Control, 5th edition, New Jersey: Wiley.
Ruey S. Tsay (2010): Analysis of Financial Time Series, 3rd edition, New Jersey: Wiley.
John Campbell - Andrew W. Lo - A. Craig MacKinlay (1997): The Econometrics of Financial Markets, Princeton: Princeton University Press.
James D. Hamilton (1994): Time Series Analysis, Princeton: Princeton University Press.
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
J. Baruník and L. Vácha (2007-2019): Lecture Notes
Stan Hurn, Vance Martin, Peter Phillips and Jun Yu (2021): Financial Econometric Modelling
Walter Enders (2014): Applied Econometric Time Series, 4th edition, New Jersey: Wiley.
Peter J. Brockwell, Richard A. Davis (2016): Introduction to Time Series and Forecasting, Berlin: Springer nature.
Klaus Neusser (2016): Time Series Econometrics, Berlin: Springer nature.
George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinse (2015): Time Series Analysis: Forecasting and Control, 5th edition, New Jersey: Wiley.
Ruey S. Tsay (2010): Analysis of Financial Time Series, 3rd edition, New Jersey: Wiley.
John Campbell - Andrew W. Lo - A. Craig MacKinlay (1997): The Econometrics of Financial Markets, Princeton: Princeton University Press.
James D. Hamilton (1994): Time Series Analysis, Princeton: Princeton University Press.
Požadavky ke zkoušce -
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.
Sylabus -
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
Lectures/Seminars
Introduction to Financial Econometrics
Properties of Financial Time Series - Assets, Prices, Random Walk, Moving average Models.
Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root
Linear Models for Financial Time Series - AR, MA, Wold decomposition
Nonlinearities in Financial Data - Volatility, EWMA, (G)ARCH
Long memory in volatility - FIGARCH, Long memory Stochastic volatility models.
Persistence in Time Series: Extended Wold decompositions
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
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: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected.
Požadavky k zápisu -
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
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: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)
There are no formal course requirements. However, knowledge up to the level of Statisics (JEB105) and Econometrics I (JEB109) courses is assumed and expected.
