MPF_APFE Applied Financial Econometrics

Ekonomicko-správní fakulta
podzim 2022
Rozsah
2/2/0. 6 kr. Ukončení: zk.
Vyučující
Axel Alejandro Araneda Barahona, Ph.D. (přednášející)
Garance
Axel Alejandro Araneda Barahona, Ph.D.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Iva Havlíčková
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta
Rozvrh
Pá 10:00–11:50 P106, kromě Pá 16. 9., kromě Pá 4. 11.
  • Rozvrh seminárních/paralelních skupin:
MPF_APFE/01: Pá 14:00–15:50 VT105, kromě Pá 16. 9., kromě Pá 4. 11., A. Araneda Barahona
Předpoklady
Students are expected to be familiar with basic concepts of Corporate finance, Statistics and Econometrics
Omezení zápisu do předmětu
Předmět je nabízen i studentům mimo mateřské obory.
Mateřské obory/plány
Cíle předmětu
The course offers an insight into key topics of financial econometrics. The objective of the course is to develop an understanding about ideas and methods used to study financial markets. Emphasis is given on understanding the limits to predictability of market returns, specifics of time-series models (AR, ARDL, MA, ARMA, ARIMA, Unit-Root method, ARCH, GARCH), specifics of market returns (Different distributional assumptions) and how they are used to estimate key financial market risk measures (Value-at-Risk, Expected Shortfall). Participants are introduced to the CAPM and Fama – French pricing models, their estimation and possible further extensions (additional factors). To consolidate these ideas, students are introduced to a design and proper evaluation of an asset allocation strategy (e.g. model selection, forecasting, forecast evaluation). The applied nature of the course leads to the development of skills necessary to perform financial econometrics tasks in the R environment.
Výstupy z učení
After completing the course, the student should be able to: - study the behavior of financial time-series, - quantify key risk measures of risky assets, - design and evaluate asset allocation strategies.
Osnova
  • Introduction to financial econometrics 1. Introduction to financial markets and topics in financial econometrics. 2. Predictability of market returns. Time-series econometrics 3. Time-series econometric models, AR (p), MA (p), ARMA (p, q), ARIMA (p, q). 4. Unit Root Tests and invertibility, Seasonal Unit Root Tests, Unit Root Tests with Structural Breaks. 5. ARDL models – estimation, autocorrelation tests, HAC standard errors, time-series based boostrapping methods ). 6. ARCH models – ARCH(1), AR-ARCH(1), GARCH models – GARCH(1,1), distributional assumptions, ARCH tests Market risk measures 7. Value-at-Risk models – historical, distributional, model based. VaR forecast evaluation. 8. Expected shortfall – historical, distributional, model based. ES forecast evaluation. Event studies 9. Market event study – design of a market event study. 10. News driven market movements, e.g. monetary policy news announcements. Asset pricing and allocation 11. Capital asset pricing model, Fama and French model. 12. Asset allocation studies I., granularity, asset based allocation.
Literatura
    doporučená literatura
  • BERNARDI, M a Catania L AMP. The model confidence set package for R. International Journal of Computational Economics and Econometrics. 2018, roč. 8, č. 2, s. 144-158. Dostupné z: https://dx.doi.org/10.1504/IJCEE.2018.091037. info
  • LEVENDIS, John D. Time Series Econometrics: Learning through replication. Springer, 2018. ISBN 3-319-98281-8. info
  • CAMPBELL, J W a A W MacKinlay A C LO. The econometrics of financial markets. Princeton University press, 1997. ISBN 0-691-04301-9. info
    neurčeno
  • LINTON, O. Financial econometrics: Models and Methods. Cambridge University Press, 2019. ISBN 978-1-316-63033-4. info
Výukové metody
Lecture notes, problem sets, and case studies are necessary for successful passing of the course. As they are required they will be available in the eLearning module for free.
Metody hodnocení
Grading is in accordance with the internal guidelines of the Faculty of Economics and Administration of Masaryk’s University and is based on midterm I (20%), midterm II (20%), and final exam (60%). A total of 51% minimum is required to pass.
Vyučovací jazyk
Angličtina
Další komentáře
Studijní materiály
Předmět je vyučován každoročně.
Předmět je zařazen také v obdobích podzim 2023, podzim 2024.