Original title: Vybrané přístupy pro zpracování mnohorozměrných časových řad ve financích
Translated title: Selected topics of multivariate time series analysis in finance
Authors: Slívová, Iveta ; Cipra, Tomáš (referee) ; Zichová, Jitka (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: In the present work, we study ARMA model at the beginning, then we write about one-dimensional and multivariate ARCH and GARCH model, further we move on to the multivariate GARCH model. At the end, the principal component decomposition is introduced, it is a procedure to reduce the number of parameters involved in a multivariate GARCH model. The theory is explicated rst on a basic ARMA model, afterwards it is modi ed step by step for the one-dimensional and the multivariate GARCH model. There are solved examples for multivariate ARCH and GARCH model and nancial data are analyzed by means of these models.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27295

Permalink: http://www.nusl.cz/ntk/nusl-282488


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses