Institute of Information Theory and Automation

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Department of Econometrics

Secretary: 
Phone: 
266052411
Fax: 
266052232
Publications ÚTIA: 
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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:

admin: 2018-05-04 08:08

Department detail

2013-09-13
Ladislav Kristoufek was awarded by the 1st place in PhD students competition for his research paper "Mixed-correlated...
2012-11-30
Institut energetické ekonomie při Fakultě financí a účetnictví VŠE ocenil práci Ladislava Krištoufka, Karla Jandy a...
2012-06-25
In the year 2012 the President of the Academy of Sciences of the CR granted The Otto Wichterle Award to promising young...
2011-11-30
Institut energetické ekonomie při Fakultě financí a účetnictví VŠE ocenil práci Mgr. Lukáše Váchy, Ph.D. a PhDr....
2011-10-06
obhajil dne 6. října 2011 v 17:00 hod na FSV UK, Opletalova 26 doktorskou disertační práci na téma Wavelet-based...
2011-06-17
PhDr. Jozef Baruník získal první místo v 17. ročníku Souteže o nejlepší studentskou vědeckou práci z teoretické...
2011-04-12
Vedení Fakulty sociálních věd Univerzity Karlovy v Praze udělilo ocenění "Zlatý kurz" PhDr. Jaromíru Baxovi, Mgr....
Mgr. Anton Astakhov
Mgr. Krenar Avdulaj Ph.D.
Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
František Čech
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.
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.
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.
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.
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.
Duration: 2013 - 2015
The project will theoretically and empirically investigate the effects that systemic, mostly supranational financial shocks and policy responses (local and global) to these shocks have on behavior, economic performance and welfare of the private sector in open economies. We want to contribute to answering the following questions: (a) What type of economic integration, i.e.
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.