154-0353/02 – Financial Econometrics (FE)
Gurantor department | Department of Finance | Credits | 3 |
Subject guarantor | doc. Ing. Aleš Kresta, Ph.D. | Subject version guarantor | Ing. Jiří Valecký, Ph.D. |
Study level | undergraduate or graduate | Requirement | Choice-compulsory |
Year | 2 | Semester | winter |
| | Study language | Czech |
Year of introduction | 2011/2012 | Year of cancellation | 2020/2021 |
Intended for the faculties | EKF | Intended for study types | Follow-up Master |
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:
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
Other requirements
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
Occurrence in study plans
Occurrence in special blocks
Assessment of instruction