VSFS:D_KMFA Quantit. Meth.of Financ. Analy - Course Information
D_KMFA Quantitative Methods of Financial AnalysisUniversity of Finance and Administration
- 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.
- Enrolment Statistics (recent)
- Permalink: https://is.vsfs.cz/course/vsfs/winter2022/D_KMFA