National Repository of Grey Literature 36 records found  beginprevious27 - 36  jump to record: Search took 0.00 seconds. 
Model realizované stochastické volatility v praxi
Vavruška, Marek ; Zouhar, Jan (advisor) ; Formánek, Tomáš (referee)
Realised Stochastic Volatility model of Koopman and Scharth (2011) is applied to the five stocks listed on NYSE in this thesis. Aim of this thesis is to investigate the effect of speeding up the trade data processing by skipping the cleaning rule requiring the quote data. The framework of the Realised Stochastic Volatility model allows the realised measures to be biased estimates of the integrated volatility, which further supports this approach. The number of errors in recorded trades has decreased significantly during the past years. Different sample lengths were used to construct one day-ahead forecasts of realised measures to examine the forecast precision sensitivity to the rolling window length. Use of the longest window length does not lead to the lowest mean square error. The dominance of the Realised Stochastic Volatility model in terms of the lowest mean square errors of one day-ahead out-of-sample forecasts has been confirmed.
Analysis of relation between macroeconomic indicators and economic results of a company
Scigel, Pavel ; Dlouhá, Zuzana (advisor) ; Formánek, Tomáš (referee)
The Czech Republic's economic performance is measurable by some macroeconomic indicators which have made variable progress in recent years. Based on general economic conditions, economic development has impacted upon economic results of companies. Over time their progress is recorded by economic time series, which describe it. Through the agency of economic time series, economic development and mutual dependences among indicators can be researched. This problem can be solved by applying the methodology which helps describe and quantify relations among quantities. For the purpose of expression of a single time series, stochastic linear modelling is used, and for quantifying the strength of relation among time series, regression analyses and Granger causality testing are used.
Econometric analysis of transmission mechanism in CZ
Plechatá, Zuzana ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This diploma thesis presents results of analysis of monetary policy transmission mechanism in the Czech Republic employing the vector autoregressive (VAR) models. The responsible authority for monetary policy is Czech National Bank that has been using the inflation targeting regime to conduct its monetary policy since 1998. The inflation rate changes, i.e. the changes in repo rate represent a monetary tool for steering actual inflation rate towards the projected or "target" inflation rate. The linear correlation between 2 weeks repo rate and 1 month PRIBOR rate is confirmed. The transmission mechanism is examined within the VAR framework and the relationships between the 1 month PRIBOR rate, gross domestic product and inflation rate are studied. The VAR model including 1 lag is considered as the best performing model. The relationships among variables are analysed by related approaches -- Granger causality, impulse response functions and cointegration. The ability of model to create forecasts is assessed and the ex ante forecasts are produced for one-year horizon. The effects of alternative monetary policies are the subject of scenario analysis.
Simulation analysis of the impact of alternative rates of VAT
Lacinová, Věra ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This thesis is composed of free main chapters. The first two chapters of is a theoretical part. The first chapter is devoted to the theory of economic policy and analysis of economic indicators. The second chapter concerns the econometric theory and describes vector autoregression models theory and econometric forecasting. In the third, practical part, aims to find out with the help of real data of the Czech economy impacts of alternative VAT rates on selected indicators of the czech economy, these indicators are gross domestic product, unemployment rate and consumer price index. As a tool to determine the impact of using models and vector autoregression method scenarios.
Inflation analysis and its comparison in the Czech Republic and Germany
Maxa, Jan ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The aim of this paper is to analyse and compare inflation and its dynamics between two countries -- the Czech Republic and Germany -- applying a special kind of econometric models. The first part of this paper is dedicated to economic theory of inflation -- fundamental terms, measuring methods and its targeting. The monetary policy in the Czech Republic and Germany is also shortly introduced. Next chapter tries to describe the econometric concept which is used in this paper -- vector autoregression model (VAR model). In connection with the VAR models, Granger causality, impulse response function, cointegration and error correction model are mentioned as well. The empirical part includes application of selected models on real time series of macroeconomic indicators. Next to the interpretation of results, the forecasts are also implemented.
The Macroeconomic Analysis with DSGE Models
Průchová, Anna ; Zouhar, Jan (advisor) ; Formánek, Tomáš (referee)
Dynamic stochastic general equilibrium models are derived from microeconomic principles and they retain the hypothesis of rational expectations under policy changes. Thus they are resistant to the Lucas critique. The DSGE model has become associated with new Keynesian thinking. The basic New Keynesian model is studied in this thesis. The three equations of this model are dynamic IS curve, Phillips-curve and monetary policy rule. Blanchard and Kahn's approach is introduced as the solution strategy for linearized model. Two methods for evaluating DSGE models are presented -- calibration and Bayesian estimation. Calibrated parametres are used to fit the model to Czech economy. The results of numeric experiments are compared with empricial data from Czech republic. DSGE model's suitability for monetary policy analysis is evaluated.
Application of dynamic production function
Arzumanov, Robert ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
Industry is still one of the most important and key sectors of economy. Optimization and increase in efficiency in the competitive environment are one of the crucial processes in the business development. High-quality and functional analysis of the production processes and their appropriate adjustment are between the key factors of production company's success. Therefore fine models and instruments suitable for such research are gaining importance. They help to make important analysis and toward better understanding the production process including the basis of its right adjustment. One of the commonly accepted models is the production function. This thesis is particularly focused on the dynamic form of Cobb-Douglas production function, which among other measures the innovative influence. Some of the methods of its usage and achieved results are demonstrated, including the deduction of possible verdicts or advice for the concrete company. The discussion on its significance and particularities is also held in the conclusion of the thesis.
Modelling and forecasting inflation
Nguyen, Tran Anh Tuan ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The aim of the thesis is an analysis of inflation in the Czech Republic in the period 2004 - 2011, using econometric models. This work is divided into two parts, theoretical and practical. The theoretical part describes the definition of inflation, its forms, ways of measuring inflation, positive and negative effects of inflation, causes of inflation and inflation targeting. Subsequently described the historical development of a simple Phillips curve and other modifications. The practical part contains the empirical analysis of inflation in the CR using the models described in the theoretical part, with the help of other alternative forms of the Phillips curve. At the end of their work are selected models to predict inflation. The thesis is the implementation of all the calculations in MS Excel and SAS statistical software program.
Analysis of inflation dynamics in Czech Republic
Hubálek, Ondřej ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
Bachelor work is focused on analysis of inflation dynamics in Czech Republic using econometric models. Inflation with its impacts, costs and possibilities of measuring is described in the first part of this work. There is also described influence of Czech national bank on inflation progress and inflation targeting. Part also contains basic econometric models for inflation analysis and models of adaptive expectations. Consequently there is described theory of econometrics analysis, focused on ordinary least squares method. There are also described factors that can negatively influence significance of estimated models. In the concrete it is heteroscedasticity, autocorrelation and multicolinearity. The empirical part contains econometric analysis of inflation in Czech Republic by itself, using models described in theoretical part. There are also used other models, coming out of economic hypothesis. In the end there are selected models for inflation prediction.
Simulation predictions of the Czech economy
Vejdělková, Dita ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The thesis is composed of three main parts. The first part is theoretical and I deal here with economic relationships between macroeconomic magnitudes. Second part dedicated to the econometric theory of prognosis follows, in which I deal with different types of prognoses and prediction methods used at present. In the third, practical, part my intended aim is to create the best possible models of relations between fundamental macroeconomic magnitudes, using real Czech economy data, and to make simulation predictions of these magnitudes based on acquired models while utilising scenario analysis. First, I deal with choice of MSE and VAR models. Then follows the estimate of particular models and validation of prognostic capabilities of particular models for static and dynamic simulation. I conclude with elaboration of macroeconomic magnitudes prognosis while using scenario analysis.

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