Course: Financial Time Series

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Course title Financial Time Series
Course code UMKM/PFCR
Organizational form of instruction Lecture + Lesson
Level of course Bachelor
Year of study not specified
Semester Summer
Number of ECTS credits 5
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)
  • Zapletal David, Mgr. Ph.D.
  • Linda Bohdan, doc. RNDr. CSc.
Course content
Stochastic proces and its stationarity Autocorrelation and parcial autocorrelation function Stationarity models AR, MA, ARMA models (properties, identifying, goodness of fit) Nonstationary (integrated) models Random walk, ARIMA models, unit-root tests Seasonal models Forcasting by linear models Conditional heteroskedasticity models ARCH model, GARCH model, GARCH variants Forcasting using GARCH model

Learning activities and teaching methods
Monologic (reading, lecture, briefing), Work with text (with textbook, with book), Methods of individual activities, Skills training
Learning outcomes

Students will be able to apply obtained skills in solving concrete mathematical, technical and economic problems.
Prerequisites
Supposes knowledge secondary mathematics to the extent of warps secondary school and inclusion from subject mathematical seminar.

Assessment methods and criteria
Written examination, Home assignment evaluation, Didactic test

Assignment: preparing and defending the project.
Recommended literature
  • ARLT, J., ARLTOVÁ, M. Ekonomické časové řady. Praha: GRADA Publishing, 2007.
  • ARLT, J., ARLTOVÁ, M. Finanční časové řady. Praha: GRADA Publishing., 2003.
  • ARLT, J. Moderní metody analýzy ekonomických časových řad. Praha: GRADA Publishing, 1999.
  • CIPRA, T. Analýza časových řad. Praha: SNTL, 1986.
  • MAKRIDAKIS, S., WHEEL WRIGHT, S. C., McGEE, V. R. Forecasting Methods and Applications. New York: John Wiley, 1983.
  • RUBLÍKOVÁ, E., ARLT, J., ARLTOVÁ, M., LIBIČOVÁ, L. Analýha časových radov - Zbierka príkladov. Bratislava: EKONOM, 2003.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Economics and Administration Management of Financial Risks (2014) Economy 3 Summer
Faculty of Economics and Administration Management of Financial Risks (2013) Economy 3 Summer
Faculty of Economics and Administration Management of Financial Risks (2015) Economy 3 Summer