154-0353/02 – Financial Econometrics (FE)

Gurantor departmentDepartment of FinanceCredits3
Subject guarantorIng. Jiří Valecký, Ph.D.Subject version guarantorIng. Jiří Valecký, Ph.D.
Study levelundergraduate or graduateRequirementChoice-compulsory
Year2Semesterwinter
Study languageCzech
Year of introduction2011/2012Year of cancellation
Intended for the facultiesEKFIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
VAL35 Ing. Jiří Valecký, Ph.D.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Credit 1+2

Subject aims expressed by acquired skills and competences

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.

Teaching methods

Lectures
Individual consultations
Tutorials
Project work

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.

Compulsory 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.

Recommended 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.

Way of continuous check of knowledge in the course of semester

E-learning

Další požadavky na studenta

Další požadavky na studenta

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

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

Conditions for subject completion

Full-time form (validity from: 2011/2012 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Exercises evaluation Credit 85  85
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty
2019/2020 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2018/2019 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2017/2018 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2016/2017 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2016/2017 (N6202) Economic Policy and Administration (6202T027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2015/2016 (N6202) Economic Policy and Administration (6202T027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2015/2016 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2014/2015 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2014/2015 (N6202) Economic Policy and Administration (6202T027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (N6202) Economic Policy and Administration (6202T027) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2012/2013 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2012/2013 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2011/2012 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 2 Choice-compulsory study plan
2011/2012 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner