DA_QMFA Quantitative Methods of Financial Analysis

Vysoká škola finanční a správní
zima 2024
Rozsah
1/1/0. 12 hodin KS/semestr. 10 kr. Ukončení: DZk.
Garance
prof. Ing. Josef Arlt, CSc.
Katedra financí (FES, KF) – Katedry – Vysoká škola finanční a správní
Kontaktní osoba: Dita Egertová
Předpoklady
The course has no specific entry requirements.
Omezení zápisu do předmětu
Předmět je otevřen studentům libovolného oboru.
Cíle předmětu
TThe aim of the course is correct application of quantitative methods in finance and financial analysis.
Výstupy z učení
Correct application of quantitative methods in the field of finance and financial analysis.
Osnova
  • Syllabus of the course:
  • 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
Literatura
    povinná literatura
  • 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.
Výukové metody
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.
Metody hodnocení
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.
Vyučovací jazyk
Angličtina
Další komentáře
Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je zařazen také v obdobích zima 2019, zima 2020, zima 2021, zima 2022, zima 2023.
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