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:

2018-05-04 08:08

Department detail

Stanislav Astapovich
Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
Nino Buliskeria
PhDr. František Čech
Mgr. Jaroslav Dufek
Mgr. Luboš Hanus
Mgr. Marek Hauzr
Mgr. Michal Houda Ph.D.
Mgr. Martin Hronec
Mgr. Pavel Irinkov
RNDr. Vlasta Kaňková CSc.
Prof. Ing. Evžen Kočenda Ph.D. DSc.
Jan Korbel
Prof. 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. Lenka Nechvátalová
Mgr. Matěj Nevrla
Mgr. Vadim Omelchenko Ph.D.
Jaroslav Pavlíček MA
Mgr. Ing. Tomáš Šestořád
Jan Šíla MSc.
Ing. Karel Sladký CSc.
RNDr. Martin Šmíd Ph.D.
Mgr. Lukáš Vácha Ph.D.
Prof. Ing. Miloslav Vošvrda CSc.
Mgr. Jan Žáček
Duration: 2018 - 2020
Multi-objective stochastic programming problems correspond to economic situations in which economic process is simultaneously influenced by a random environment and a decision parameter selected with respect to multi-objective optimization problem depending on the probability measure.
Duration: 2017 - 2019
The project focuses on utilization of multifractal framework in finance and financial economics. Specifically, we focus on three main branches of research. First, we examine how occurrence of financial extreme events translates into multifractal properties of the time series. For this purpose, we utilize the cusp catastrophe theory and the log-periodic power-law model.
Duration: 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.
Duration: 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
Duration: 2016 - 2019
This project extensively examines the effect of financial sector development and financial risks on both long-term economic growth as well as short-term economic fluctuations during the current financial crisis.
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).
Mgr. Lukáš Petrásek
Jan Šíla MSc.
Sophio Togonidze MA
Daniel Vach
Mgr. Jan Voříšek

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