Financial Econometrics I ( FAP, CIMA) 222041-D
Laboratorium (LAB) Semestr letni 2025/26

Introduction to financial econometrics. Simple and logarithmic return. Continuous capitalization. Statistical description of return time series. Statistical distributions applied to return modeling.

Introduction to linear regression models.

Regression models in finance. Applications of the models. Tests of error term properties.

Nonstationarity of financial variables.

Cointegration, and dynamic models in finance.

Financial markets efficiency

Capital Asset Pricing Model

Event studies in finance

Credit risk modelling

Financial markets volatility

Volatility modeling. Introduction to GARCH models.

Development of volatility models

Volatility forecasting. Value at Risk and Expected Shortfall.