JEM059 - Quantitative Finance I

Kredit: 6
Role předmětu: Anglicky
CFS - elective
EEI a HP - povinně volitelný
ET - povinně volitelný
F,FT a B - povinně volitelný
Magisterský - vše
MEF - elective
Semestr - zimní
Garanti: doc. PhDr. Jozef Baruník Ph.D.
Mgr. Lukáš Vácha Ph.D.
Stránky kurzu: JEM059
Literatura: Campbell, Lo and MacKinlay (CLM): The Econometrics of Financial Markets,
Princeton, 1997.

Tsay R.S.: Analysis of Financial Time Series, Wiley, 2002.

Hamilton J.C. (HJ): Time Setries Analysis, Princeton, 1994

Evzen Kocenda, Alexander Cerny (2007) Elements of Time Series Econometrics. The
Karolinum Press, UK

Walter Enders (2004) .Applied Econometric Time Series, Second Edition

J. Baruník and L.Vácha (2007-2016): Lecture Notes
Popis: The objective of the course is to introduce advanced time series methods. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Quantitative Finance II course. Part of the course is also focused on the high frequency data econometrics.


McKinsey & Company