ALEXANDER, Carol. Market risk analysis. Volume II, Practical financial econometrics. Chichester: Wiley, 2008. 396 p. ISBN 978-0-470-99801-4.
LEWIS, Nigel Da Costa. Market Risk Modeling. London: Risk Books, 2003. 238 p. ISBN 1-904339-07-7.
ZMEŠKAL, Z. et al. Financial models. Ostrava: VSB-TUO, 2004. 254 p. ISBN 80-248-0754-8.
Financial Econometrics
| Language of instruction | angličtina |
|---|---|
| Code | 154-0553 |
| Abbreviation | FE |
| Course title | Financial Econometrics |
| Coordinating department | Department of Finance |
| Course coordinator | doc. Ing. Aleš Kresta, Ph.D. |
Summary
The course is focused on application of econometrical methods to the finance. It aims at creating empirical models applicable both in corporate finance as well as in financial modelling. Within the seminars, selected problems of proposing empirical models are solved and the emphasis is placed on their practical application. The course is a good complement to the course Econometrics. Problems are solved mainly in Microsoft Excel.
Literature
Advised literature
COLES, Stuart. An introduction to statistical modeling of extreme values. London: Springer, c2001, xiv, 208 p. ISBN 1-85233-459-2.
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.
KING, Alan J and Stein W WALLACE. Modeling with stochastic programming. New York: Springer, c2012, xvi, 173 p. ISBN 978-0-387-87816-4.
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.
KING, Alan J and Stein W WALLACE. Modeling with stochastic programming. New York: Springer, c2012, xvi, 173 p. ISBN 978-0-387-87816-4.