Předmět Quantitative Finance I (JEM059)
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Další informace
Cíl
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.
Sylabus
1. Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models2. Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root3. Linear Models of Financial Time Series - Moving Average Models, AR, ARMA, ARIMA.4. Linear Models of Financial Time Series II - Moving Average Models, AR, ARMA, ARIMA.5. Introduction to Nonlinearities in Financial Data I6. Introduction to Nonlinearities in Financial Data II7. High-frequency financial models - Microstructure noise8. High-frequency financial models - Simulation of continuous-time processes9. High-frequency financial models - Realized Measures10. High-frequency financial models II - Realized Measures11. High-frequency financial models - Forecasting
Literatura
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, 1994Evzen Kocenda, Alexander Cerny (2007) Elements of Time Series Econometrics. TheKarolinum Press, UKWalter Enders (2004) .Applied Econometric Time Series, Second EditionJ. Baruník and L.Vácha (2007-2013): Lecture Notes
Garant
Mgr. Lukáš Vácha, Ph.D.PhDr. Jozef Baruník, Ph.D.
Vyučující
PhDr. Jozef Baruník, Ph.D.Mgr. Lukáš Vácha, Ph.D.