|
|
Financial time series modelling with trend
Studnička, Václav ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
Various models can be used for the analysis of financial time series. This thesis focuses mainly on two models; non-linear trend model and linear trend model. First chapter is theoretial, there is an introduction to the theory of time series and to the autoregressive process. Second chapter is also theoretical and it focuses on a description of both non-linear and linear trend model including derivations of im- portant properties of these models; moreover, it contains theory for the modelling of financial time series and predictions. Last chapter contains simulations of two mentioned models and estimations of their parameters, Wolfram Mathematica is used for all simulations. 1
|
|
|
Special aspects of non-linear time series modelling
Studnička, Václav ; Zichová, Jitka (advisor) ; Hudecová, Šárka (referee)
Various models, such as ARMA and GARCH, are used in the financial time series framework. The purpose of this thesis is to present an alternative for these models which are bilinear time series models. First chapter is theore- tical, there is a short introduction to the theory of time series and ARMA models. Second chapter focuses on theoretical aspects of the simple bilinear model, third chapter presents the theory for general bilinear model in the similiar fashion as for simple model. Last chapter is focused on practical aspects, it contains simulations and examines the properties of estimates based on the presented theory, final part is devoted to the comparison of properties of ARMA models and bilinear models for selected financial data. 1
|
|
|
Financial time series modelling with trend
Studnička, Václav ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
Various models can be used for the analysis of financial time series. This thesis focuses mainly on two models; non-linear trend model and linear trend model. First chapter is theoretial, there is an introduction to the theory of time series and to the autoregressive process. Second chapter is also theoretical and it focuses on a description of both non-linear and linear trend model including derivations of im- portant properties of these models; moreover, it contains theory for the modelling of financial time series and predictions. Last chapter contains simulations of two mentioned models and estimations of their parameters, Wolfram Mathematica is used for all simulations. 1
|
|
| |
|
|
Zkušenosti s vlnovodnými lasery připravenými pulsní laserovou depozicí. (Experience with waveguide lasers fabricated by pulse laser deposition)
Lančok, Ján ; Jelínek, Miroslav ; Jastrabík, Ludvík ; Oswald, J. ; Nikl, Martin ; Polák, Karel ; Studnička, Václav ; Kubelka, J. ; Procházka, S. ; Šimečková, Marta ; Trtík, Vítězslav ; Čtyroký, Jiří ; Skalský, Miroslav ; Chvostová, Dagmar
|
|
| |
|
| |
guest ::
RSS feed.