| Course Unit Code | 154-0353/03 |
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| Number of ECTS Credits Allocated | 3 ECTS credits |
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| Type of Course Unit * | Choice-compulsory type B |
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| Level of Course Unit * | Second Cycle |
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| Year of Study * | Second Year |
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| Semester when the Course Unit is delivered | Winter Semester |
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| Mode of Delivery | Face-to-face |
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| Language of Instruction | Czech |
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| Prerequisites and Co-Requisites | Course succeeds to compulsory courses of previous semester |
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| Name of Lecturer(s) | Personal ID | Name |
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| KRE330 | doc. Ing. Aleš Kresta, Ph.D. |
| Summary |
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| 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. |
| Learning Outcomes of the Course Unit |
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The aim of the course is to provide a general knowledge of econometrics with application to the practical finance and financial modelling. It is placed the great emphasis on the general principles and methods in order students to be able to solve the real problems. It is possible in the course to work on real problem of diploma thesis.
Students will be able after the course:
- to apply estimation methods correctly and suitably,
- to create empirical models not only for financial time series,
- to make predictions of future trends,
- to work with mathematical software.
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| Course Contents |
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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). |
| Recommended or Required Reading |
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| Required Reading: |
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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. |
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 a T. TICHÝ. Finanční modely: koncepty, metody, aplikace. 3., přeprac. a rozšíř. vyd. Praha: Ekopress, 2013. 267 s. ISBN 978-80-86929-91-0. |
| Recommended Reading: |
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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. |
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 a 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 a 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. a kol. Financial econometrics: from basics to advanced modeling techniques. Hoboken: Wiley, 2007. 553 p. ISBN 978-0-471-78450-0. |
| Planned learning activities and teaching methods |
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| Lectures, Individual consultations, Tutorials, Project work |
| Assesment methods and criteria |
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| Task Title | Task Type | Maximum Number of Points
(Act. for Subtasks) | Minimum Number of Points for Task Passing |
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| Credit | Credit | 85 (85) | 85 |
| Zápočtová písemka | Written test | 85 | 85 |