Lecturer(s)
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Klicnarová Jana, doc. RNDr. Ph.D.
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Mrkvička Tomáš, prof. RNDr. Ph.D.
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Course content
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Themas: 1. Repetition of basics from time series. 2. Box-Jenkins methodology. ARMA models. 3. ARIMA models. 4. SARIMA models. 5. Using SARIMA models in linear regression with autocorrelation. 6. Models of volatility. 7. Models with variable volatility. ARCH models. 8. Models with variable volatility. GARCH models. 9. Multidimensional time series. 10. Multidimensionals volatility models. 11. Modelling of financial activ. 12. Exponencial Wiener process. 13. Value at risk.
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Learning activities and teaching methods
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Monologic (reading, lecture, briefing)
- Preparation for classes
- 25 hours per semester
- Semestral paper
- 56 hours per semester
- Class attendance
- 31.5 hours per semester
- Preparation for exam
- 56 hours per semester
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Learning outcomes
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The aim is to teach the students the basic stochastic models used in economics and financial analysis and its practical analysis in R.
Basic skills in stochastic economical models
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Prerequisites
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unspecified
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Assessment methods and criteria
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Oral examination
Active attendance, seminar work. Oral exam.
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Recommended literature
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Cipra T. Finanční ekonometrie. Ekopress, 2008. ISBN 978-80-86929-43-9.
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R.H. Shumway, D.S. Stoffer. Time Series Analysis and Its Application with R Examples. Springer, 2006.
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