Institute of Information Theory and Automation

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Department of Econometrics

Secretary: 
Phone: 
266052411
Fax: 
266052232
Publications ÚTIA: 
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Department of Econometrics focuses on understanding and modelling important economic and financial problems like decision making of agents, asset pricing, understating interaction between agents, or recently understanding the economic impacts of pandemics. We offer solutions to these problems with the help of mathematical models as well as statistical methodologies. More recently, we utilize modern machine learning methods for decision-making problems and analyze high-dimensional data sets (big data). We particularly focus on understanding economic and financial problems, focusing on estimation of real-world data.

In our department, we cover topics such as Machine Learning/Statistical Learning, Dynamic networks and financial decision making, Dynamic quantile asset pricing models, Measurement of dependence between cyclical economic variables, High-frequency data analysis, Agent based models, Stochastic optimization and Macroeconomics.

Working Papers:

Selected Papers:

 

Organized conferences and workshops:

  • STAT of ML 2023, 2022,2021,2020, 2019, Prague. Economterics Department in cooperation with Humboldt-Universität zu Berlin and Faculty of Mathematics and Physics, Charles University in Prague organized a STAT of ML (Statistics of Machine Learning) conference held October 5-6, 2023.  
  • Haindorf workshop 2022, 2020, 2019, 2018, 2017, 2016. The series of joint workshops with Humboldt University organized in January are focused on networking activities of research groups of prof. Barunik and prof.Hardle and training PhD students in statistical techniques. We have enjoyed hosting several respected scholars who joined the workshops including Victor Chernozhukov (MIT), Oliver Linton (Cambridge), Bryan Graham (UC Berkeley), Qiwei Yao (LSE), Holger Dette (Bochum) and many visiting international scholars.
  • 2015 – 2020 Research Seminar Series – Jointly with Institute of Economic Studies we organize occasional small workshops for PhD students with invited international speakers, i.e. Eddie Gerba (LSE), Mattia Bevilaqua (LSE), Todorova (Bocconi).
  • FinMaP – Financial Distortions & Macroeconomic Performance 2015 Prague: 2nd general workshop of the consortium organized by Institute of Information Theory and Automation.
  • FinMaP – Financial Distortions & Macroeconomic Performance 2015 Mannheim: 3rd general workshop of the consortium co-organized by Institute of Information Theory and Automation.
  • 2015 Econophysics Colloquium: The 2015 annual meeting of international researchers that brings together interdisciplinary research as physicists, economists and practitioners to discuss statistical methods, quantitative measures, modelling, simulations, and computational issues was co-organized in Prague by Institute of Information Theory and Automation and Charles University.
2024-02-05 15:15

Department detail

Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
PhDr. František Čech Ph.D.
Mgr. Luboš Hanus
Mgr. Martin Hronec
Mgr. Lukáš Janásek
RNDr. Vlasta Kaňková CSc.
Prof. Ing. Evžen Kočenda Ph.D. DSc.
Prof. PhDr. Ladislav Krištoufek Ph.D.
Mgr. Dušan Križan
PhDr. Jiří Kukačka Ph.D.
Mgr. Josef Kurka
Prof. RNDr. Radko Mesiar DrSc.
Mgr. Lenka Nechvátalová
Mgr. Matěj Nevrla
Attila Sárkány
Jan Šíla MSc.
Ing. Karel Sladký CSc.
RNDr. Martin Šmíd Ph.D.
Mgr. Ing. Martin Štěpánek Ph.D.
Mgr. Lukáš Vácha Ph.D.
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 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.
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.
2022-12-08
Jméno oceněného: František ČechOcenění: Soutěž o nejlepší publikaci ÚTIA pro rok 2022 - cena do 35 letOceněná činnost:...
2022-11-10
Jméno oceněného: L. Vácha, J. BaruníkOcenění: Nejlépe hodnocené kurzy na IESOceněná činnost: Výuka kurzu Advanced...
2022-10-30
Jméno oceněného:       Jozef Barunik, Lenka NechvátalováOcenění: Zlatý kurz FSV Oceněná činnost: výukaOcenění udělil:...
2022-10-20
Jméno oceněného:       Jozef Barunik, Lukas VachaOcenění:           Zlatý kurz FSV (Financial Econometrics I)Oceněná...
2022-09-20
Jméno oceněného:       Ladislav KristoufekOcenění: zařazení do Clarivate Highly Cited Researchers 2022 (10...
2021-11-30
Jméno oceněného:       Jozef Barunik, Lenka NechvátalováOcenění:           Zlatý kurz FSV (Applied Econometrics)Oceněná...
2021-11-20
Jméno oceněného: L. Vácha, J. BaruníkOcenění: Nejlépe hodnocené kurzy na IESOceněná činnost: Výuka kurzu Advanced...
2021-11-20
Jméno oceněného: L. Vácha, J. BaruníkOcenění: Nejlépe hodnocené kurzy na IESOceněná činnost: Výuka kurzu Advanced...
2020-11-30
Jméno oceněného: Evzen KocendaOcenění: GSJ Global Strategy Research PrizeOceněná činnost: For the best paper relating...
2020-11-20
Jméno oceněného: L. Vácha, J. BaruníkOcenění: Nejlépe hodnocené kurzy na IESOceněná činnost: Výuka kurzu Quantitative...
2020-11-10
Jméno oceněného:       Jozef BarunikOcenění:           Nejlepší magisterský kurs (Applied Econometrics)Oceněná činnost...
2020-10-10
Jméno oceněného: Martin Hronec Ocenění: Top 3 magistersky kurz Oceněná činnost: VyukaOcenění udělil: Institut...
2017-05-24
Prof. Ing. Evžen Kočenda, M.A., Ph.D., DSc. received the scientific title "Research Professor in Social Sciences and...
2017-05-24
Prof. Evžen Kočenda převzal 24.5. 2017 diplom s titulem „doktor sociálních a humanitních věd“ z rukou předsedkyne AV ČR...
2015-12-07
Institute of Energy Economics, Faculty of Finance and Accounting, University of Economics in Prague awarded work of...
2014-05-13
In the year 2014 the President of the Academy of Sciences of the CR granted The Otto Wichterle Award to promising young...
2014-05-12
Česká národní banka udělila letošní cenu za nejlepší výzkumné práce (Economic Research Award) práci „Are Bayesian Fan...
2014-05-12
The Czech National Bank has granted this year’s Economic Research Award to the paper “Are Bayesian Fan Charts Useful...
2013-12-03
Institute of Energy Economics, Faculty of Finance and Accounting, University of Economics in Prague awarded work of...
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...
2011-06-17
PhDr. Jozef Baruník získal první místo v 17. ročníku Souteže o nejlepší studentskou vědeckou práci z teoretické...