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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

Mgr. Anton Astakhov
Mgr. Krenar Avdulaj Ph.D.
Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
František Čech
Eva Dostálová
Mgr. Jaroslav Dufek
Prof. Roman Horváth Ph.D.
Mgr. Michal Houda Ph.D.
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
Barbora Malinská
PhDr. Aleš Maršal
Prof. RNDr. Radko Mesiar DrSc.
Mgr. Vadim Omelchenko Ph.D.
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.

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

Arbitrage-free modelling of implied volatility in options

Doc. RNDr. Miloš Kopa, Ph.D.
Duration: 2013 - 2015
The project deals with modelling of options implied volatility where the implied volatility is considered as a function of strike price and time to maturity.

Multivariate spectral analysis of financial markets

Doc. PhDr. Jozef Baruník, Ph.D.
Duration: 2013 - 2015
The project focuses on studying multivariate time-frequency dynamics of financial markets using spectral methods. First target is to formulate new spectral-based realized measure of variance and covariance using wavelets, which will be applied to measure the integrated volatililty and covolatility under the various types of dependent microstructure noise.

New Trends in Stochastic Economic Models under Uncertainty

RNDr. Vlasta Kaňková, CSc.
Duration: 2013 - 2015
Economic and financial activities are often influenced simultaneously by a decision and random factors. Since the decision parameter must be constructed mostly without knowledge of a random element realization, an optimization problem depending on a probability measure corresponds to this situation. Usually in applications this measure must be replaced by an empirical one.
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