FINNPFEK Financial Econometrics

School of Business Administration in Karvina
Summer 2014
Extent and Intensity
1/2/0. 4 credit(s). Type of Completion: z (credit).
Teacher(s)
prof. Ing. Daniel Stavárek, Ph.D. (lecturer)
prof. Ing. Daniel Stavárek, Ph.D. (seminar tutor)
Guaranteed by
prof. Ing. Daniel Stavárek, Ph.D.
Department of Finance and Accounting – School of Business Administration in Karvina
Prerequisites
None
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
  • Banking (programme OPF, N_HOSPOL)
Course objectives
The aim of this course is to present to students econometric methods, models and tools and their application in finance. The concept of the course is based on the following subjects of economic and financial theory, mathematics and statistics. The students are introduced procedures that may be undertaken in the current financial econometrics use. The course focuses on developing the theoretical foundations of econometrics and finance, to provide the necessary theoretical reflection. Seminars include an explanation of the issue of the application of econometric methods in finance and concretize the lessons learned from the case studies.
Syllabus
  • 1. Theories and models
    2. Financial time series and their characteristics
    3. Models of one-dimensional stationary time series
    4. Models of one-dimensional non-stationary time series
    5. Estimation of model parameters
    6. Evaluation and Diagnostic Model
    7. Causality in financial time series
    8. Models of multivariate time series
    9. Cointegration and models of Error Correction
    10. Panel regression
    11. Discrete choice models
    12. Non-linearity of financial time series and volatility models
Literature
    required literature
  • ARLT, Jozef and Markéta ARLTOVÁ. Ekonomické časové řady. Praha: Professional Publishing, 2009. ISBN 978-80-86946-85-6. info
  • CIPRA, T. Finanční ekonometrie. Praha: Ekopress, 2008. ISBN 978-80-86929-43-9. info
  • BROOKS, Ch. Introductory econometrics for finance. Cambridge: Cambridge University Press, 2008. ISBN 0521-79018-2. info
  • VERBEEK, M. A Guide to Modern Econometrics. Chicester, etc.: John Wiley & Sons, 2004. ISBN 0-470-85773-0. info
    recommended literature
  • GUJARATI, D. N., PORTER, D. C. Basic Econometrics. Boston : IrwinMcGraw-Hill, 2009. ISBN 978-0-07-337577-9. info
  • DAVIDSON, R., MACKINNON, J. G. Econometric Theory and Methods. Oxford : Oxford University Press, 2009. ISBN 978-0-19-539105-3. info
  • MADDALA, G. S., LAHIRI, K. Introduction to Econometrics. New York : John Wiley & Sons, 2009. ISBN 978-0-470-01512-4. info
  • VOGELVANG, B. Econometrics. Theory and Applications with EViews. England: Financial Times Press, 2005. ISBN 0-273-68374-8. info
  • HUŠEK, R., PELIKÁN, J. Aplikovaná ekonometrie - teorie a praxe. Praha: Professional Publishing, 2003. ISBN 80-86419-29-0. info
  • ARLT, J., ARLTOVÁ, M. Finanční časové řady. 1. vyd. Praha: Grada Publishing, 2003. ISBN 80-247-0330-0. info
Teaching methods
Skills demonstration
Seminar classes
Assessment methods
Credit
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
Teacher's information
attendance in seminars 25%, seminar paper, course credit test
ActivityDifficulty [h]
Ostatní studijní zátěž47
Přednáška13
Seminář26
Zápočet30
Summary116
The course is also listed under the following terms Summer 2013.
  • Enrolment Statistics (recent)
  • Permalink: https://is.slu.cz/course/opf/summer2014/FINNPFEK