JEM059 - Financial Econometrics I

Credit: 6
Status: CSF - elective
EEI and EP - elective
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.


Česká Spořitelna


Patria Finance