MPF_APFE Applied Financial Econometrics

Ekonomicko-správní fakulta
podzim 2025
Rozsah
0/2/0. 5 kr. Ukončení: k.
Vyučováno kontaktně
Vyučující
doc. Ing. Tomáš Plíhal, Ph.D. (cvičící)
Garance
doc. Ing. Tomáš Plíhal, Ph.D.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Iva Havlíčková
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta
Předpoklady
BPE_ZAEK Základy ekonometrie || BPE_INEC Introduction to Econometrics
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
předmět má 7 mateřských oborů, zobrazit
Cíle předmětu
This course provides a structured environment for students to apply econometric methods to empirical problems in finance. It is designed to support the development of students’ diploma theses or comparable empirical projects by offering ongoing guidance, peer feedback, and clearly defined checkpoints. Students will work independently during weekly seminars, with the instructor providing individualized support and occasional group clarifications as common issues arise. The course assumes prior knowledge of statistics and econometrics, and it is recommended that students have completed the thesis assignment course before enrollment.
Výstupy z učení
After completing the course, the student should be able to:
- Apply econometric techniques to real-world financial datasets.
- Develop and refine a research question in financial econometrics.
- Manage a data-driven empirical project.
Osnova
  • The following key elements of empirical research in financial econometrics will be addressed through individual work and guided consultations: topic selection, literature review, data acquisition, and model estimation.
  • - Initial project formulation: research question, motivation, and scope
  • - Review of relevant empirical literature and methodological choices
  • - Financial data sources: market data, firm-level data, and macro-financial indicators
  • - Data preparation and preprocessing: cleaning, merging, and transformation
  • - Specification of econometric models suitable for financial applications
  • - Estimation techniques and preliminary results
  • - Diagnostic testing and robustness checks
  • - Interpretation of results in financial and economic context
  • - Finalization of results and writing of empirical research report or thesis chapter
Literatura
    doporučená literatura
  • LEVENDIS, John D. Time Series Econometrics: Learning through replication. Springer, 2018. ISBN 3-319-98281-8. info
  • 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
  • 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
  • JAMES, Gareth R.; Daniela WITTEN; Trevor HASTIE a Robert TIBSHIRANI. An introduction to statistical learning : with applications in R. Second edition. New York: Springer, 2021, xv, 607. ISBN 9781071614174. info
  • LINTON, O. Financial econometrics: Models and Methods. Cambridge University Press, 2019. ISBN 978-1-316-63033-4. info
Výukové metody
Seminar-based teaching focused on individual student work on an empirical project under the supervision of the instructor.
- Regular in-class consultations, individual feedback, and shared discussions when common issues arise.
- Progress monitored through periodic submissions (checkpoints) and instructor comments.
Metody hodnocení
Assessment is based on continuous progress and active participation. Requirements for passing the course include:
– Minimum 80% attendance at seminar sessions.
– Timely submission of progress reports at designated checkpoints.
– Final presentation summarizing the results and progress made during the semester.
- The course is graded on a pass/fail basis (colloquium).
Náhradní absolvování
In case of a study stay abroad, it is possible to complete the course in an alternative form. Please contact the instructor to arrange an individual study plan.
Vyučovací jazyk
Angličtina
Studijní opora
https://is.muni.cz/auth/go/2thnyb
Další komentáře
Studijní materiály
Předmět je vyučován každoročně.
Výuka probíhá každý týden.
Předmět je zařazen také v obdobích podzim 2022, podzim 2023, podzim 2024.
  • Statistika zápisu (nejnovější)
  • Permalink: https://is.muni.cz/predmet/econ/podzim2025/MPF_APFE