Original title: Moderní přístupy k analýze finančních časových řad
Translated title: Modern Approach To Financial Time Series Analysis
Authors: Hybler, Eduard ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
Document type: Master’s theses
Year: 2008
Language: cze
Abstract: This thesis is devoted to the multivariate canonical ARMA model and then continues with determination of a graphical model. Graphical model includes also relations between contemporaneous variables, not only dependence on past variables. In the practical part of this work canonical AR model is identi ed using software Mathematica. In this model we specify structural autoregresion according to the graphical models methodology. A time series of exchange rates was processed. It is together with program included on the enclosed CD.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/14204

Permalink: http://www.nusl.cz/ntk/nusl-290231


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