Course: Stochastic Models in Economy

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Course title Stochastic Models in Economy
Course code KMI/SME
Organizational form of instruction Lecture + Lesson
Level of course Master
Year of study not specified
Semester Winter and summer
Number of ECTS credits 6
Language of instruction Czech
Status of course Compulsory
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
Lecturer(s)
  • Klicnarová Jana, doc. RNDr. Ph.D.
  • Mrkvička Tomáš, prof. RNDr. Ph.D.
Course content
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.

Learning activities and teaching methods
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
Learning outcomes
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
Prerequisites
unspecified

Assessment methods and criteria
Oral examination

Active attendance, seminar work. Oral exam.
Recommended literature
  • Cipra T. Finanční ekonometrie. Ekopress, 2008. ISBN 978-80-86929-43-9.
  • R.H. Shumway, D.S. Stoffer. Time Series Analysis and Its Application with R Examples. Springer, 2006.


Study plans that include the course
Faculty Study plan (Version) Category of Branch/Specialization Recommended year of study Recommended semester