Financial Econometrics and Applied Finance

  • Credits: 7
  • Ending: Examination
  • Range: 26sP
  • Semester: summer
  • Year: 1
  • Faculty of Economics and Finance

Teachers

Included in study programs

Finance

Finance

Teaching results

The aim of the course is to provide students with knowledge for understanding the techniques used in financial modeling, to equip students with competencies and skills for conducting empirical research in finance. Completion of the course will enable you to understand and master the relevant econometric techniques and models that are most often applied in the field of finance. The student will gain knowledge of how theories in finance are connected with models in financial econometrics: especially how the economic / financial hypothesis is specified in applicable models, how empirical results of models are reliably interpreted in the form of scientifically based findings.
By completing the course, the student will gain the competence to transform the adopted or own hypotheses into econometric, respectively. another type of applied model. In addition, after completing the course, they will be able to understand more complex and key scientific elements of econometric and application focus, acquire the ability to think critically and will be able to apply a model approach in their research.
Based on his / her own activity, presentations and economic discussion in the team, he / she will acquire skills related to the search for key scientific articles that use mainly financial econometrics. Subsequently, other skills related to the processing of relevant scientific literature into the methodological basis for their research. As part of the presentations of his ongoing results, he will develop his presentation skills and abilities.

Indicative content

• Introduction to the classical linear regression model and its properties.
• Multiple linear regression, its testing and model estimation.
• Assumptions of the classical linear regression model, diagnostic tests.
• Modeling and forecasting by one-dimensional models of financial time series, autoregressive and ARMA models.
• Models with multiple time series - models with simultaneous equations and vector autoregressive models.
• Error correction models, volatility and correlation modeling - ARCH / GARCH models, models with panel regression application and more.
The detailed content of the course will be each individual course adapted to the topics of students' dissertations. Course adapted to the research topics of the participants of the module.

Support literature

Brooks, Ch.: Introductory Econometrics for Finance. 4th Edition Cambridge University Press, ISBN- 13: 978-1108422536, ISBN-10: 1108422535, Cambridge, 2019.
http://prof.iauba.ac.ir/images/Uploaded_files/3%20Brooks_Introductory%20Econometrics%20for%20Finance%20(2nd%20edition)[2591271].PDF
Hatrák, M .: Econometrics, Bratislava 2007
Ochotnický, Pavol - Káčer, Marek - Alexy, Martin - Hofreiter, Miloš. Úvod do ekonometrie pre financie. 2. dopl. vyd. Bratislava : Vydavateľstvo EKONÓM, 2012. 150 s. [6,941 AH]. ISBN 978-80-225-3430-7.
Ochotnický, Pavol - Alexy, Martin - Hofreiter, Miloš - Lanáková, Kristína - Káčer, Marek - Kardoš, Jaroslav. Analýza a prognóza vo financiách. 1. vyd. Bratislava : Iura Edition, člen skupiny Wolters Kluwer, 2012. 190 s. [11,45 AH]. Ekonómia. ISBN 978-80-8078-484-3.
Ochotnický, Pavol - Lajzová, Barbara - Kiseľáková, Dana. Cenová konkurencieschopnosť a zdanenie energetických vstupov. In Ekonomický časopis : časopis pre ekonomickú teóriu, hospodársku politiku, spoločensko-ekonomické prognózovanie = journal for economic theory, economic policy, social and economic forecasting. - Bratislava : Ekonomický ústav SAV : Prognostický ústav SAV, 2011. ISSN 0013-3035, 2011, roč. 59, č. 8, s. 786-801. APVV-0101-10.
Ochotnický, Pavol - Káčer, Marek - Wilson, Nick. Sovereign credit ratings and the new European union member states. In Journal of Credit Risk. - London : Infopro Digital Services. ISSN 1755-9723, 2014, vol. 10, no. 4, pp. 3-43. ITMS 26140230005.
Wilson, Nick - Ochotnický, Pavol - Káčer, Marek. Creation and destruction in transition economies: the SME sector in Slovakia. In International Small Business Journal. - London : SAGE Publ. ISSN 0266-2426, 2016, vol. 34, no. 5, pp. 579-600.
Káčer, Marek - Ochotnický, Pavol - Alexy, Martin. The Altman’s Revised Z’-Score Model, Non-financial Information and Macroeconomic Variables: Case of Slovak SMEs. In Ekonomický časopis : časopis pre ekonomickú teóriu, hospodársku politiku, spoločensko-ekonomické prognózovanie = journal for economic theory, economic policy, social and economic forecasting. - Bratislava : Ekonomický ústav SAV : Prognostický ústav SAV, 2019. ISSN 0013-3035, 2019, roč. 67, č. 4, s. 335-366. APVV-15-0322.
Ochotnický, Pavol - Wilson, Nick - Káčer, Marek - Alexy, Martin. Gender Diversity and Educational Attainment in Non-listed Private Firms: Evidence from Slovakia. - Registrovaný: Web of Science, Registrovaný: Scopus. In Acta Oeconomica : Periodical of the Hungarian Academy of Sciences. - Budapest : Akadémiai kiadó. ISSN 0001-6373, 2019, vol. 69, no. 2, pp. 131-159 online.
Ochotnický, Pavol - Alexy, Martin - Káčer, Marek. Driving Forces of Total Factor Productivity in Europe. - Registrovaný: Web of Science. In Ekonomický časopis : časopis pre ekonomickú teóriu, hospodársku politiku, spoločensko-ekonomické prognózovanie = journal for economic theory, economic policy, social and economic forecasting. - Bratislava : Ekonomický ústav SAV : Prognostický ústav SAV, 2020. ISSN 0013-3035, 2020, roč. 68, č. 10, s. 1002-1020 online. APVV-15-0322.
Selected contributions from financial econometrics and financial models - will be determined individually within each course. Selected scientific states of teachers (registered in WOS, SCOPUS).

Requirements to complete the course

30% two presentations during the semester, 10% activity during the semester, 60% final exam

Student workload

Total 7 x 26 = 182, of which:
Participation in consultations 28 h, preparation for seminars 44 h, preparation for the final exam 110 h.

Language whose command is required to complete the course

slovak

Date of approval: 11.03.2024

Date of the latest change: 24.01.2022