Course: Econometrics

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Course title Econometrics
Course code KEM/EKN
Organizational form of instruction Lecture + Tutorial
Level of course Master
Year of study not specified
Semester Winter and summer
Number of ECTS credits 5
Language of instruction Czech
Status of course Optional
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
  • Lukáš Ladislav, Doc. RNDr. Ing. CSc.
Course content
- Assessing market risk, Value at Risk. - P/L distribution for derivatives. - Stresstesting and backtesting. - Models of time structure of interest rates. - Monte Carlo Methods. - Method Cost at Risk. - Regression and cointegration. - Vector autoregression. Macro-economic prediction models. Used SW: Excel, Statistica, Mathematica. Additional information for students of so-called combined study form is available in Courseware.

Learning activities and teaching methods
Lecture supplemented with a discussion, Lecture with practical applications, E-learning, One-to-One tutorial, Group discussion, Individual study, Students' self-study, Seminar, Practicum
  • Contact hours - 50 hours per semester
  • Preparation for an examination (30-60) - 50 hours per semester
  • Individual project (40) - 40 hours per semester
professional knowledge
The course supposes the knowledge of a university course of mathematics and statistics.
learning outcomes
Student is able to: - Assess portfolio risk using the method Value at Risk, - Extract information from financial data which are needed in the area of finantial ingeneering. - Estimate price of some financial engineering products using simulation.
teaching methods
Lecture supplemented with a discussion
Group discussion
Students' self-study
Individual study
One-to-One tutorial
Lecture with practical applications
assessment methods
Oral exam
Written exam
Seminar work
Recommended literature
  • ARLT, J. Moderní metody modelování ekonomických časových řad. Vyd. 1. Praha : Grada, 1999. ISBN 80-7169-539-4.
  • ENDERS, W. Applied econometric time series. 2nd ed. Hoboken : J. Wiley, 2004. ISBN 0-471-23065-0.
  • GUJARATI, D. N. Essentials of Econometrics. New York : McGraw-Hill, 1992.
  • HUŠEK, R. Ekonometrická analýza. Praha : Ekopress, 1999. ISBN 80-86119-19-X.
  • MADDALA, G. S. Introduction to Econometrics. 1. vydání. New York : Macmillan Publishing Company, 1988. ISBN 0-02-374530-4.
  • WOOLDRIDGE, J. M. Introductory econometrics : a modern approach. 3rd ed. Mason : Thomson/South-Western, 2006. ISBN 0-324-28978-2.

Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Economics Information Systems Management (2013) Economy 2 Summer