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Department of Econometrics

Head: 
Doc. PhDr. Jozef Baruník, Ph.D.
Deputy head: 
Prof. Ing. Miloslav Vošvrda, CSc.
Secretary: 
Eva Dostálová
Phone: 
266052411
Fax: 
266052232
Publications ÚTIA: 
list

The members of department have concentrated on the following research fields:

  • Real and monetary macrodynamics, dynamic economics and econometrics, stochastic economics and econometrics, and econometric modelling.
  • Advanced methods in financial econometrics and wavelets analysis of capital markets.
  • Nonlinear and stochastic optimization, stochastic dynamic optimization.
  • Market microstructure, behavioural finance, credit risk models.

    • Research Fields:

2018-05-04 08:08

Department detail

Stanislav Astapovich
Mgr. Krenar Avdulaj Ph.D.
Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
František Čech
Eva Dostálová
Mgr. Jaroslav Dufek
Mgr. Marek Hauzr
Prof. Roman Horváth Ph.D.
Mgr. Michal Houda Ph.D.
Mgr. Pavel Irinkov
RNDr. Vlasta Kaňková CSc.
Prof. Ing. Evžen Kočenda Ph.D. DSc.
Doc. PhDr. Ladislav Krištoufek Ph.D.
Mgr. Dušan Križan
Mgr. Aleš Antonín Kuběna Ph.D.
PhDr. Jiří Kukačka Ph.D.
Mgr. Josef Kurka
Mgr. Ing. Barbora Máková
Barbora Malinská
PhDr. Aleš Maršal
Prof. RNDr. Radko Mesiar DrSc.
Mgr. Vadim Omelchenko Ph.D.
Jaroslav Pavlíček MA
Jan Šíla MSc.
Ing. Karel Sladký CSc.
RNDr. Martin Šmíd Ph.D.
Mgr. Lukáš Vácha Ph.D.
Prof. RNDr. Jan Ámos Víšek CSc.
Prof. RNDr. Milan Vlach DrSc.
Prof. Ing. Miloslav Vošvrda CSc.

Dynamic modeling of mortgage portfolio risk

RNDr. Martin Šmíd, Ph.D.
Duration: 2015 - 2017
The aim of the project is to create a dynamical structural model of a mortgage portfolio consisting of multiple tranches. A default of a loan will be driven by a sum of three factors: an overall one, a tranche specific one and an individual one. Analogously, a loss (given default) of individual mortgages will be driven by a sum of three factors (possibly standing for a collateral value).

Stability analysis of optima and equilibria in economics

RNDr. Martin Branda, Ph.D.
Duration: 2015 - 2017

Dynamic correlations and financial market risk

Doc. PhDr. Jozef Baruník, Ph.D.
Duration: 2014 - 2016
The aim of the research project is to analyze financial risk and market co-movements using novel econometric methods and their theoretically grounded modifications. The main focus will be on emerging European markets with respect to global developed markets, as well as important assets from commodities markets.

Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Prof. Ing. Miloslav Vošvrda, CSc.
Duration: 2014 - 2016
The ability of financial markets to bear risk is central to economic welfare and stability. Growth and economic wellbeing is inhibited if financial markets are unable to transfer resources efficiently from the suppliers of liquiditz to entrepreneurs.

Bivariate long memory analysis of financial time series

Doc. PhDr. Ladislav Krištoufek, Ph.D.
Duration: 2014 - 2016
The project focuses on analysis of financial time series in a framework of bivariate long memory with a special attention on power-law decaying cross-correlation function and its implications for dynamic properties of such processes. The first target is to use these implications for construction of statistical tests to distinguish between short and long memory.

Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Duration: 2014 - 2016
Institute of Information Theory and Automation