|Status:||CFS - elective
EEI and EP - elective
ET - elective
F,FM and B - mandatory
Masters - all
MEF - elective
Semester - winter
|Course supervisors:|| doc. PhDr. Jozef Baruník Ph.D.
Mgr. Lukáš Vácha Ph.D.
|Literature:||Campbell, Lo and MacKinlay (CLM): The Econometrics of Financial Markets,
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
|Description:||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.|