Conducted in
terms:
2023Z, 2024Z
Erasmus code: 14.3
ISCED code: 0311
ECTS credits:
4
Language:
Polish
Organized by:
Faculty of Economic Sciences
Related to study programmes:
Modelling of Financial Markets 2400-M2IiEMRF
This course has not yet been described...
Type of course
obligatory courses
Prerequisites (description)
(in Polish) Wymagania formalne
Finanse: Analiza i wycena akcji i obligacji, teorie portfelowe i modele rynku kapitałowego (model Sharpe’a, model CAPM, teoria arbitrażu cenowego APT), struktura terminowa stóp procentowych (krzywa rentowności);
Ekonometria: MNW, modele panelowe (model z efektami stałymi, model z efektami zmiennymi, test Hausmana);
Analiza szeregów czasowych: stacjonarność, kointegracja, model ECM, modele ARIMA/SARIMA, modele typu ARCH.
Założenia wstępne
Finanse, Ekonometria, Analiza szeregów czasowych
Course coordinators
Additional information
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: