JEM140 - Quantitative Multivariate Finance
| Credit: | 3 |
|---|---|
| Credit ETCS: | 3 |
| Hours weekly: | 6/6 |
| Status: | Anglicky Bakalářský - povinně volitelný Bakalářský - vše BEF - elective EEI a HP - povinně volitelný ET - povinně volitelný F,FT a B - povinně volitelný Magisterský - vše MEF - elective NEVYUČUJE SE Semestr - letní |
| Obligatory courses: | |
| Recommended courses: | |
| Course supervisors: | PhDr. Pavel Vacek Ph.D., Česká spořitelna Corporate Chair |
| Teachers: | Martin Burda M.A., Ph.D. |
| Assistants: | |
| Schedule: | v týdnu od 21.5. - 25.5.2012 ZÁPIS OTEVŘEN OD 21.3.2012 ! Bude probíhat formou mailu na adresu: jirsova@fsv.cuni.cz, studenti vždy uvedou kod a název kurzu, své příjmení a jméno, ročník bc či mgr + prosbu o zápis |
| Announcements: | |
| Literature: | Lecture notes, based on Ruey S. Tsay, Analysis of Financial Time Series, Second Edition, 2005, Wiley. |
| Description: | Course Website http://www.economics.utoronto.ca/mburda/teaching/IES-12/ Compact weekly course, for Master and advanced BC students. |
| Content: | Quantitative Multivariate Finance is an intensive course based partly on a related course offered in the Economics MA program at the University of Toronto, Canada. The course at IES is intended for Master level students but is open also to advanced Bachelor level students. The primary objective of the course is to provide students with a solid theoretical and practical foundation for the interpretation of empirical evidence in financial economics in the multivariate setting. The course will cover introduction to multivariate analysis with a specific focus on models of stochastic volatility (GARCH, SV). The course material will be presented as a continuation of the IES course "Quantitative Finance". |
| Seminar: | May 21 – May 25, 2012, daily from 9:00 am to 12:00 pm in room 109 (exception: May 21 in room 206) |
| Examination dates: | Written exam, May 25 at 10:40 am, room 109 |
| Course requirements: | Written exam |
| Downloadable: | 1. Statistical Framework 2. Matrix Algebra 3. Maximum Likelihood 4. Time Series for Finance 5. VARMA 6. Stochastic Volatility 7. Multivariate Stochastic Volatility Econometrics in R fGarch FinTS Syllabus |