JED413 - Advanced Financial Econometrics II

Credit: 5
Status: Doctoral
English
Semester - summer
Course supervisors: doc. PhDr. Jozef Baruník Ph.D.
prof. Ing. Miloslav Vošvrda CSc.
Course homepage: JED413
Literature: C. Gandolfo: Economics Dynamics, Springer, 1997
Campbell, Lo, MacKinlay: The Econometrics of Financial Markets, Princeton, 1997
Hamilton: Time Series Analysis, 1994
Tsay: Analysis of Financial Time Series, 2002
Description: The aim of this seminar is an analysis of macroeconomic systems primarily by methods of nonlinear dynamics, stochastics dynamics, and nonlinear time series analysis. Special application will be focused on a behavior of the financial markets.
July 2020
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