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Empirické finance

Předmět na Fakulta sociálních věd |
JCM025

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Sylabus

Course outline (tentative and subject to change)  

·         Building and testing asset pricing models

·         Arbitrage pricing theory

·         Mean variance efficient frontier

·         CAMP/Single factor models

·         Multi factor models

·         Cross-sectional regressions, Fama-MacBeth

·         Conditional vs. unconditional asset pricing models

·         Term structure models

·         Affine models

·         Factor analysis and principal component methods

·         State space models and filtering

·         Shadow rates, ZLB

·         Estimation methods

·         Simulated method of moments

·         Indirect inference and efficient method of moments

·         Market microstructure

·         Price discovery, market efficiency, liquidity

·         Algorithmic trading, high-frequency trading, arbitrage, high-frequency data

·         Topics (if time permits)

·         Green finance

·         Intro to corporate finance

·         Big data in finance, basic machine learning techniques