OPF:FINNPFEK Financial Econometrics - Course Information

FINNPFEK Financial Econometrics

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

Activity	Difficulty [h]
Ostatní studijní zátěž	47
Přednáška	13
Seminář	26
Zápočet	30
Summary	116

• Enrolment Statistics (recent)
  
• Permalink: https://is.slu.cz/course/opf/summer2014/FINNPFEK