National Repository of Grey Literature 172 records found  beginprevious95 - 104nextend  jump to record: Search took 0.01 seconds. 
Numerical study on simultanious equations
Šaroch, Vojtěch ; Lachout, Petr (advisor) ; Cipra, Tomáš (referee)
Title: Numerical study on simultanious equations Author: Vojtěch Šaroch Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Petr Lachout, CSc. Abstract: In this thesis we deal with the simultaneous equation model. In the first chapter we introduce theoretical aspect of this problem, especially estimation procedures and their properties. We mention issues of an identification and an inconsistency of OLS-estimates for simultaneous modeling. In th second chapter we introduce theory of estimation, especially we will focus on the interval estimation and precision. We mention empirical approach too. In the third chapter we perform a numerical study on the simple macroeconomic model of generated dates. We are interested in properties of interval estimations of parameters, the convergence rate, difference between the empirical and theoretical extimation etc. Keywords: simultaneous equations model, interval estimation, empirical estimation 1
Time series models with exogenous variables and their application to economical data
Vaverová, Jana ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
This thesis deals with analyzing multivariate financial and economical data. The first section describes the theory of multivariate time series and multivariate ARMA models. The second part deals with some models with exogenous variables such as simultaneous equations models and ARMAX model. In the final chapter, the described theory is applied to analyze the reciprocal dependence of time series of inflation rates and dependence of inflation rates on various macroeconomical indicators. The results were obtained by software Mathematica 8, Mathematica 10, EViews and R. Powered by TCPDF (www.tcpdf.org)
Holt-Winters method for exponential smoothing
Koritarová, Lenka ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
"his thesis de-ls with the methods of exponenti-l smoothingF et (rst the prin iE ples of exponenti-l smoothing -re expl-inedF e fo us on -si -ppro- hesX sinE gleD dou le smoothing -nd the rolt¡s methodF "hese pro edures -re suit- le for the modeling time series without se-son-l omponentF rowever in pr- ti e there -re frequent time series with se-son-lityF por su h time series the roltE inter¡s method is usedF "his method is -sed just on the prin iples of exponenti-l smooE thingF sn the l-st p-rt of this thesisD there is demonstr-ted using this methods on re-l d-t-F
Non-stationary time series
Večeřa, Jakub ; Lachout, Petr (advisor) ; Cipra, Tomáš (referee)
This thesis focuses on option of omitting the stationarity assumption, which is usually used in the financial time series analysis. The theory of semi-stationary processes is introduced. This type of process has time-dependent spectra (the evolutionary spectra) in comparison with stationary process. The evolutionary spectra estimator is derived using a linear filter and then averaged in time to reduce any fluctuations caused by randomness. Predictions and variance estimates are retrieved from the estimated time dependent spectra. The semi-stationary processes theory is applied to the ARMA processes with time-dependent coefficients, a coefficient estimator based on evolutionary spectra is suggested. Calculations are performed in R software. Powered by TCPDF (www.tcpdf.org)
Econometric Analysis of Financial Data
Baniar, Matúš ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
Econometric Analysis of Financial Data Author: Matúš Baniar Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr. Abstract: In some occasions, financial data can be represented as a combination of cross-sectional and time-series information. Hence it could be convenient to consider a system of econometric equations for modeling such data sets. At the beginning of this thesis, we describe general definitions and we talk about different types of variables from the perspective of exogeneity. Later, we describe some specific cases of these equations: SUR system, simultaneous equation models and the model of vector autoregression. For selected models, we also discuss estimation methods and their properties. In the final section, the described approach is applied to real financial data making use of appropriate software. Keywords: exogeneity, SUR system, simultaneous equations, VAR
Econometric Analysis of Financial Data
Baniar, Matúš ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
Econometric Analysis of Financial Data Author: Matúš Baniar Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr. Abstract: In some occasions, financial data can be represented as a combination of cross-sectional and time-series information. Hence it could be convenient to consider a system of econometric equations for modeling such data sets. At the beginning of this thesis, we describe general definitions and we talk about different types of variables from the perspective of exogeneity. Later, we describe some specific cases of these equations: SUR system, simultaneous equation models and the model of vector autoregression. For selected models, we also discuss estimation methods and their properties. In the final section, the described approach is applied to real financial data making use of appropriate software. Keywords: exogeneity, SUR system, simultaneous equations, VAR
Solvency Internal models
Mertl, Jakub ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee) ; Jedlička, Petr (referee)
Title: Solvency Internal models Author: Mgr. Ing. Jakub Mertl Abstract: The subject of thesis is assessment of calculation methods on capital adequacy of currently implemented regulation in insurance industry called Solvency II. The aim of the thesis is to build up a partial internal model fulfilling the condition of Solvency II. The thesis deals with the premium and reserve risks that are essential part of non-life business. Different approaches of risk assessment are described and aggregation of those risks as well. An important part of the thesis is a numerical example illustrating presented methods.
Excess of loss reinsurance with reinstatements
Čápová, Petra ; Mazurová, Lucie (advisor) ; Cipra, Tomáš (referee)
This thesis deals with the calculation of the premium for model of excess of loss reinsurance with reinstatements (XL-reinsurance with reinstatements). In the first part except the description of the basic model, we devote to derivation of the formula for calculating the pure premium. Furthermore, we show the detailed calculation procedure of the pure premium including the derivation of the probability function for the composite distribution of the total reinsurer's participation in claims here. The thesis also describes the method of PH transformation, which is used to determine the risk adjusted premium. In the second part we show these procedures on concrete examples for various probability distributions of the amount of claims and the number of claims. Powered by TCPDF (www.tcpdf.org)
Autocorrelation and decomposition methods in economic time series analysis
Filka, Jakub ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
The goal of this bachelor thesis is to give a basic theoretical background for working with time series with the usage of autocorrelation and decomposition methods, as well as to apply these methods on real data in selected software. The interpretation of the results is closely related to the comparison of advantages and disadvantages of the methods. We have used the software Wolfram Mathematica and NCSS. The main contribution of the thesis is the connection of both theoretical and practical approach, which was not performed similarly in Czech or Slovak literature in the time of elaborating the thesis. Keywords: time series, autocorrelation methods, decomposive methods, Wolfram Mathematica Powered by TCPDF (www.tcpdf.org)
Risk measures in finance and insurance
Krch, Ivan ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee)
The main aim of this thesis is to examine risk measures which are used in finance and insurance. This work is focused on describing their mathematical characterizations and their relationships. In this thesis are discussed coherent risk measures, spectral risk mea- sures and distorted risk measures. Considerable attention is given to value at risk which is connected to a certain extent with all risk measures which are mentioned above. Attention is also aimed on using of these risk measures on illustrative examples which make their characteristic clear. Further there are demonstrated risk measures for quantification risk of portfolio based on real data. 1

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