D_KMFA Quantitative Methods of Financial Analysis

University of Finance and Administration
Winter 2022
Extent and Intensity
1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
Guaranteed by
prof. Ing. Josef Arlt, CSc.
Department of Finance - Departments - University of Finance and Administration
Contact Person: Lenka Pokorná
Mathematical knowledge within the higher education mathematics is a prerequisite of mastering the content of the course.
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The aim of the course is correct application of quantitative methods in finance and financial analysis.
Learning outcomes
Correct application of quantitative methods in the field of finance and financial analysis.
  • Course contains thematic areas:
  • Concept of probability
  • Random variable, probability distribution of random variable
  • Random vector, covariance and correlation matrix
  • Statistical inference: point estimates, confidence limits and statistical testing
  • Correlation and regression analysis
  • Economic and financial time series, classification and basic properties
  • Linear models of one-dimensional time series (ARMA, ARIMA)
  • Time series volatility models (GARCH, EGARCH)
  • Linear models of multidimensional time series (VAR)
  • Causality and exogeneity in time series
  • Cointegration analysis of time series
    required literature
  • CARMONA, C. Statistical analysis of financial data in R, Springer, 2014.
  • CIPRA, T. Time series in economics and finance, Springer, 2020
  • HEIJ, C. Econometric methods with applications in business and economics, Oxford University Press, 2004.
  • CHATTERJEE, S., HADI, A. S. Regression analysis by example, Wiley, 2012.
  • WEI, W. Time series analysis - univariate and multivariate methods, ‎Pearson, 2018.
Teaching methods
Lessons are held in the form of lectures and discussions of the literature studied. It is associated with an active creative work of student as result in the form of a seminar paper according to instructions of the teacher.
Assessment methods
The course ends with an examination in the form of seminar paper - article (e.g . subchapter of doctoral thesis), in which some quantitative method of financial analysis will be correctly applied.
Language of instruction
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
The course is also listed under the following terms Summer 2010, Winter 2010, Winter 2011, Winter 2012, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2019, Winter 2020, Winter 2021.
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