Předmět Quantitative Finance II (JEM061)
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Další informace
Sylabus
Quantitative Finance II Summer 2014/2015 IES, Room 601, Monday 17:00 - 19:50 Course Lecturers: Lukáš Vácha ( vachal at utia.cas.cz ), Jozef Baruník ( barunik at fsv.cuni.cz )Assistent: Luboš Hanus ( lubos.hanus at gmail.com) Course description and Objectives: 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. Assignments There will be bi-weekly home assignments based on the methods covered by the lectures. The seminars will be used mainly present the homeworks, discuss the problems, etc. Main topics: 1. Spectral Analysis - Introduction 2. Introduction to frequency domain (Fourier transform, Parseval's theorem)3. Advanced spectral techniques (Estimation of the Spectrum, Periodogram, Correlogram, Coherency spectrum)4. Filters 5. Long memory 6. Wavelets 7. Wavelets - Applications to financial data
Literatura
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.+ Lecture notes
Garant
PhDr. Jozef Baruník, Ph.D.Mgr. Lukáš Vácha, Ph.D.