JEM061 - Quantitative Finance II

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 - letní
Garanti: doc. PhDr. Jozef Baruník Ph.D.
Mgr. Lukáš Vácha Ph.D.
Stránky kurzu: JEM061
Literatura: Beran, J. (1994): Statistics for Long - Memory Processes. New York, Chapman and Hall.
Calvet and Fisher (2008) Multifractal Volatility: Theory, Forecasting, and Pricing Academic Press ISBN 978-0121500139.
Percival, D. B., Walden, A. T. (2000), Wavelet Methods for Time series Analysis. Cambridge University Press.
Ramsey, J. B. (2002), Wavelets in economics and finance: Past and future. Studies in Nonlinear Dynamics & Econometrics, 3, 1.
Samorodinsky, G. (2006) Long Range Dependence, In Foundations and Trends in Stochastic Systems, Vol. 1, No. 3 163–257
Popis: The objective of the course is to introduce advanced time series methods focused on spectral analysis and long memory in finance. Substantial part of the course is devoted to spectral analysis such as Fourier transform and filters. Spectral methods will be used in the second part of the course for advanced econometric analysis of long memory processes.

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF
EY