| Credit: | 6 |
|---|---|
| Status: | CSF - elective EEI and EP - elective English ET - elective F,FM and B - mandatory Finanční trhy a datová analýza - mandatory Masters - all MEF - elective MFDA - core Semester - summer |
| Course supervisors: | doc. PhDr. Jozef Baruník Ph.D. Mgr. Lukáš Vácha Ph.D. |
| Course homepage: | JEM059 |
| Literature: | 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 |
| 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. |
