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

Research Professor Title , 2017-05-24
Prof. Ing. Evžen Kočenda, M.A., Ph.D., DSc. received the scientific title "Research Professor in Social Sciences and Humanities" from the President of the Czech Academy of Sciences on May 24, 2017.
Best research paper in Energy Economics 2015 , 2015-12-07
Institute of Energy Economics, Faculty of Finance and Accounting, University of Economics in Prague awarded work of Jozef Baruník and Barbora Malínská "Forecasting the term structure of crude oil futures with neural networks" forthcoming in the Applied Energy Journal with a "Best research paper in Energy Economics 2015" prize.
The Otto Wichterle Award for Ladislav Krištoufek , 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 scientists of the ASCR on the recommendations of the Jury for granting The Otto Wichterle Award to PhDr. Ladislav Kristoufek, Ph.D. from Econometric department of the Institute of Information Theory and Automation.
The Czech National Bank has granted Economic Research Award , 2014-05-12
The Czech National Bank has granted this year’s Economic Research Award to the paper “Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests”, written by Michal Franta, Jozef Baruník, Roman Horváth and Kateřina Šmídková. The work has been published in the prestigious and highly selective International Journal of Central Banking. The announcement of the Award...
Ladislav Kristoufek - 1 st place in PhD students competition , 2013-09-13
Ladislav Kristoufek was awarded by the 1st place in PhD students competition for his research paper "Mixed-correlated ARFIMA processes for power-law cross-correlations" at the 31st International Conference on Mathematical Methods in Economics 2013 in Jihlava, Czech Republic
Cena za nejlepší práci z oblasti energetické ekonomie v roce 2011 , 2011-11-30
Institut energetické ekonomie při Fakultě financí a účetnictví VŠE ocenil práci Mgr. Lukáše Váchy, Ph.D. a PhDr. Jozefa Baruníka, Ph.D.: Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (http://www.sciencedirect.com/science/article/pii/S0140988311002350) a udělil jim Cenu za nejlepší práci z oblasti energetické ekonomie v roce 2011.
Mgr. Anton Astakhov
Mgr. Krenar Avdulaj Ph.D.
Matúš Baniar
Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
František Čech
Mgr. Jaroslav Dufek
Mgr. Lenka Dvořáková
Mgr. Milan Hanousek
Prof. Roman Horváth Ph.D.
Mgr. Michal Houda Ph.D.
RNDr. Vlasta Kaňková CSc.
Prof. Ing. Evžen Kočenda Ph.D. DSc.
Mgr. Lucie Kraicová
Doc. PhDr. Ladislav Krištoufek Ph.D.
Mgr. Dušan Križan
Mgr. Aleš Antonín Kuběna Ph.D.
PhDr. Jiří Kukačka Ph.D.
Barbora Malinská
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.
2016 - 2018
The project will develop a new measures of dependence between economic variables, which will allow to study the frequency dependent dznamics of correlations in different quantiles of joint distribution.
2016 - 2018
The aim of this project is to model optimal dynamic behaviour of a risk-averse European carbon-emitting steel producer, to design and implement an algorithm solving the corresponding multi-stage optimisation problem and apply the model to a real-life steel company. A linear combination of mean profit and conditional value at risk will serve as a decision criterion; decision variables will includ
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).
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.
Mgr. Anton Astakhov
Matúš Baniar
František Čech
Mgr. Josef Diblík
Mgr. Karel Diviš
Mgr. Jaroslav Dufek
Mgr. Lenka Dvořáková
Mgr. Milan Hanousek
Mgr. Petr Chovanec
Mgr. Petr Chovanec
Mgr. Lucie Kraicová
Mgr. Jan Krtek
Ing. Alexandr Kuchynka
Barbora Malinská
Mgr. Peter Marco
Mgr. Radka Rutanová
Mgr. Martin Schimek
Mgr. Petr Švarc
Mgr. Petr Zahradník
PhDr. Filip Žikeš MA
Ekonometrický den 2010 , 2010-11-11
V listopadu 2010 se konal v ÚTIA Ekonometricky den, jehož organizátorem je Česká ekonometrická společnost. Kromě Valné hromady ČES, byla na programu přednáška vítězné práce Soutěže o nějlepší studentskou vědeckou práci z teoretické...