Ukončeno v akademickém roce 2021/2022

Financial Econometrics

Type of study	Follow-up Master
Language of instruction	Czech
Code	154-0353/03
Abbreviation	FE
Course title	Financial Econometrics
Credits	3
Coordinating department	Department of Finance
Course coordinator	doc. Ing. Aleš Kresta, Ph.D.

Osnova předmětu

1. Basic problems in financial econometrics.
2. Simulation Monte-Carlo – random numbers generators.
3. Estimation methods – capabilities and restrictions.
4. Regression analysis – estimation of empirical arbitrage model.
5. Regression analysis – generalized linear models and applications.
6. Introduction to stochastic optimization – applications and solution techniques.
7. Application of principal component analysis.
8. Controlling of extremal losses – estimation of risk with low probabilities.
9. Introduction to Visual Basic for Application.
10. Application of given mixture probability distributions.
11. Application of stochastic processes.
12. Modelling volatility with asymmetric effect.
13. Modelling dependences, covariance matrices.
14. Introduction to data envelopment analysis (DEA).

Povinná literatura

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.

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