National Repository of Grey Literature 4 records found  Search took 0.00 seconds. 
Multivariate GARCH
Maďar, Milan ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence the integrated markets consist of stock markets in Frankfurt, Amsterdam, Prague the U.S. Therefore we will utilize the multivariate GARCH approach that investigates into the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoretical review, basic properties and estimation procedure with proofs are provided. We illustrate approach by applying the models to daily market data. Our two main aims are discussing and reporting the existence of regional and global stock markets linkages and provide a comparison of such mul- tivariate GARCH models on the data sample. We find out that the estimated time-varying conditional correlations indicate limited integration among the mar- kets which implies that investors can benefit from the risk reduction by investing in the different stock markets especially during the crisis. Keywords: multivariate GARCH, VECH, BEKK, O-GARCH, GO-GARCH, CCC, DCC
Modelování ve finanční analýze
Maďar, Milan ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
In this thesis we study the regional and global linkages as evidence of markets integration of the stock markets in Frankfurt, Amsterdam, Prague the U.S. and the dynamics of volatility transmission of related foreign exchange rates using multivariate GARCH approach. For each of the model classes, a theoretical review, basic properties and estimation procedure are provided. We illustrate approach by applying the models to daily market data. Our two main aims are discussing and report the existence of regional and global stock markets linkages and provide comparison of such multivariate GARCH models on the data sample. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets which implies that investors can benefit from the risk reduction by investigating in the different stock markets especially during the crisis.
Monte Carlo methods in financial analysis
Maďar, Milan ; Zichová, Jitka (referee) ; Hurt, Jan (advisor)
Nazov pracc; Monte Carlo mctody vo financnej analyze Autor: Milan Mad'ar Katedra: Katedra pravdepodobnosti a matematicke statistiky Vediici bakalarskcj pracc: Doc. RNDr. Jan Hurt CSc. E-mail vediiceho: hurt(a;karlin.mff.cuni.cz Abstrakt: Tato bakalarska praca sa zaobera popisom metody Monte Carlo a jcj vyuzitim pri occhovani exotickych opcnych kontraktov, konkretne barierovych opcii. V tejto praci sa najprv venujem historii a obccnc popisem obyeajnu metodu Monte Carlo. Dalcj rozvinicm niektore metody redukcie ro/ptyln, ktorc mozu znacne zefektivnit' vypocet vcetne metody kva/i Monte Carlo. Neskor uvediem zakladne pojiny, terminologiu a matematicke zaklady modelu pre ocenovanie barierovych opcii, vysvetlcnia ieh podstaty a sposob pou/Jtia simulaeii Monte Carlo. Na zaver ocenim tymto modelom dve barierovc KX opcic prieom naznacim aj ehybu simulacie. Kl'iicovc slova: simulacie Monte Carlo; barierovc opcic; ocenovanie opcii Title: Monte Carlo methods in financial analysis Author: Milan Mad'ar Department: Department oi" Probability and MathematicalStatistics Supervisor: Doc. RNDr. Jan Hurt CSc. Supervisor's e-mail address: hurt^karlin.mtT.cuni.cz Abstract: In this bachelor thesis will be discussed the description and application of Monte Carlo method to pricing exotic options contracts, particularly barrier...
Multivariate GARCH
Maďar, Milan ; Hurt, Jan (advisor) ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence of integration of stock markets in Frankfurt, Amsterdam, Prague and the U.S. Therefore we will utilize the multivariate GARCH approach that investigates the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoret- ical review, basic properties and estimation procedure with proofs are provided. We illustrate each approach by applying the models to daily market data. The two main aims of the thesis are to discuss and report the existence of regional and global stock markets linkages and provide a comparison of such multivariate GARCH models on the data sample. The main contribution of the thesis is that it treats the data in the context of real development in financial markets and takes into account the real situation during and after the financial crisis of 2008. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets, which implies that investors can benefit from the risk reduction by investing in the different stock markets, especially during the crisis....

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