Financial Econometrics

Teachers

Included in study programs

Teaching results

The course aims to acquaint students with the exact means of describing and researching economic dependencies and thus expand the possibilities of their understanding, as well as to create prerequisites for rational economic decision-making.
Knowledge:
The acquired knowledge will be used to model economic phenomena, to investigate the dependencies of their determining factors, and to solve problems of business management by available methods of econometric research.
Skill:
The graduate can comprehensively analyze the nature of economic relations, express them by exact means and then apply them in the decision-making process of business practice.
Competence:
The graduate will be able to apply econometric tools in modeling, estimating, analyzing, and predicting economic problems in the real world and will be able to critically evaluate the results and conclusions of other people using econometric tools.

Indicative content

Consultation:
Introduction to econometrics.
Classical model of linear regression.
Generalization of the classical model.
Discrete dependent variables.
Systems with multiple equations.
Seemingly unrelated regressions.
Random processes.
Decomposition and autocorrelation methods for one-dimensional time series.
Financial time series.
Modeling the development of financial assets.
Multidimensional series.
Value at risk.
Special regression problems.
Self-study:
Introduction to econometrics.
Classical model of linear regression.
Generalization of the classical model.
Discrete dependent variables.
Systems with multiple equations.
Seemingly unrelated regressions.
Random processes.
Decomposition and autocorrelation methods for one-dimensional time series.
Financial time series.
Modeling the development of financial assets.
Multidimensional series.
Value at risk.
Special regression problems.

Support literature

1. CIPRA, T. 2008. Finanční ekonometrie (Vol. 30). Ekopress, 2008.
2. BALTAGI, B. H. 1998. Econometrics. Springer, 2008. ISBN 978-3-662-00516-3.
3. WOOLDRIDGE, J. M. 2016. Introductory econometrics: A modern approach. Boston : Cengage Learning, 2016. ISBN 978-1-305-27010-7.
4. HUŠEK, R. 2007. Ekonometrická analýza. Praha: Oeconomica, 2007. ISBN 978-80-245-1300-3.
5. CAMPBELL, J. Y. - LO, A. W. - MACKINLAY, A. C. 2012. The econometrics of financial markets. Princeton University press, 2012.

Syllabus

Consultation: Introduction to econometrics. Classical model of linear regression. Generalization of the classical model. Discrete dependent variables. Systems with multiple equations. Seemingly unrelated regressions. Random processes. Decomposition and autocorrelation methods for one-dimensional time series. Financial time series. Modeling the development of financial assets. Multidimensional series. Value at risk. Special regression problems. Self-study: Introduction to econometrics. Classical model of linear regression. Generalization of the classical model. Discrete dependent variables. Systems with multiple equations. Seemingly unrelated regressions. Random processes. Decomposition and autocorrelation methods for one-dimensional time series. Financial time series. Modeling the development of financial assets. Multidimensional series. Value at risk. Special regression problems.

Requirements to complete the course

independent work, activity
final written exam
• semester test – 20 %
• semester work – 20 %
• final written exam – 60 %

Student workload

• participation in consultations - 20 hours
• self-study - 32 hours
• preparation for semester test - 13 hours
• preparation for semester work - 13 hours
• preparation for exam - 26 hours
Total: 104 hours

Language whose command is required to complete the course

Slovak

Date of approval: 17.02.2023

Date of the latest change: 11.07.2022