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The dynamics of the energy sector beta coefficient
Šimečková, Martina ; Frýd, Lukáš (advisor) ; Jindra, Marek (referee)
This bachelor thesis investigates the presence of asymmetric reactions in systemic risk and its development over time. The estimation is done utilising three DCC family models and the OLS model. The asymmetric reactions were found to be significant in both, the volatility of energy companies based portfolio returns and the correlation between this portfolio and a market portfolio. Due to the statistical significance of all resulting parameters of each model, we have also succeeded in confirming that energy sector's beta is time varying. By testing the estimation of each beta coefficient alone, we have come to the conclusion that a statistically significant difference arises only when utilising an asymmetric volatility model.

See also: similar author names
4 Šimečková, Marie
3 Šimečková, Markéta
4 Šimečková, Marta
2 Šimečková, Michaela
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