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.
Ukončeno v akademickém roce 2021/2022
Financial Econometrics
| Type of study | Follow-up Master |
|---|---|
| Language of instruction | English |
| Code | 154-0553/01 |
| 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).
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
Doporučená literatura
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.