Terminated in academic year 2020/2021

Financial Econometrics

Type of study	Follow-up Master
Language of instruction	Czech
Code	154-0353/02
Abbreviation	FE
Course title	Financial Econometrics
Credits	3
Coordinating department	Department of Finance
Course coordinator	Ing. Jiří Valecký, Ph.D.

Subject syllabus

Introduction to financial econometrics
Introduction to statistical hypothesis testing
Empirical model of capital assets pricing - CAPM I
Empirical model of capital assets pricing - CAPM II
Empirical arbitrary model – APM
Introduction to the mathematical and econometric software
Time series analysis – modelling return of financial assets
Time series analysis - modelling volatility of financial assets
Stochastic processes
Extreme value theory and Value at Risk
Other application of financial econometrics in corporate finance

Literature

ALEXANDER, Carol. Market risk analysis. Volume II, Practical financial econometrics. Chichester: Wiley, 2008. 396 p. ISBN 978-0-470-99801-4.
BRANDIMARTE, Paolo. Numerical methods in finance and economics: a MATLAB-based introduction. 2nd ed. Hoboken: Wiley, 2006. 696 p. ISBN 0-471-74503-0.
GREENE, William H. Econometric Analysis. Upper Saddle River: Pearson Prentice Hall, 2008. 1178 p. ISBN 978-0-13-513245-6.
LEWIS, Nigel Da Costa. Market Risk Modeling. London: Risk Books, 2003. 238 p. ISBN 1-904339-07-7.
ZMEŠKAL, Z., D. DLUHOŠOVÁ and T. TICHÝ. Finanční modely: koncepty, metody, aplikace. 3., přeprac. a rozšíř. vyd. Praha: Ekopress, 2013. 267 s. ISBN 978-80-86929-91-0.

Advised literature

COLES, Stuart. An introduction to statistical modeling of extreme values. London: Springer, c2001, xiv, 208 p. ISBN 1-85233-459-2.
COOPER, W. W., L. M. SEIFORD a K. TONE. Data envelopment analysis: a comprehensive text with models, applications, references and DEA-solver software. 2nd ed. New York: Springer, c2007, xxxviii, 489 p. ISBN 978-0-387-45281-4.
HARDIN, James W and Joseph HILBE. Generalized linear models and extensions. 3rd ed. College Station: Stata Press, 2012, xxiv, 455 p. ISBN 978-1-59718-105-1.
KENNEDY, Peter. A guide to econometrics. Malden: Blackwell, 2008. 600 p. ISBN 978-1-4051-8258-4.
KING, Alan J and Stein W WALLACE. Modeling with stochastic programming. New York: Springer, c2012, xvi, 173 p. ISBN 978-0-387-87816-4.
LEFEBVRE, Mario. Applied stochastic processes. New York: Springer, c2007, x, 382 p. ISBN 978-0-387-34171-2.
RACHEV, Svetlozar T. et al. Financial econometrics: from basics to advanced modeling techniques. Hoboken: Wiley, 2007. 553 p. ISBN 978-0-471-78450-0.

back to search page