JEM061 - Quantitative Finance II

Credit: 6
Status: CFS - elective
EEI and EP - elective
ET - elective
F,FM and B - elective
Masters - all
MEF - elective
Semester - summer
Course supervisors: doc. PhDr. Jozef Baruník Ph.D.
Mgr. Lukáš Vácha Ph.D.
Course homepage: JEM061
Literature: 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
Description: 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.


McKinsey & Company