Original title: Multifraktální analýza cen benzínu a motorové nafty v České republice
Translated title: Multifractal analysis of petrol and diesel prices in the Czech Republic
Authors: Baletka, Martin ; Krištoufek, Ladislav (advisor) ; Gregor, Martin (referee)
Document type: Master’s theses
Year: 2013
Language: eng
Abstract: This thesis examines scaling properties of petrol and diesel prices in the Czech Republic and a crude oil price over the period from January 2004 to February 2013. Using generalised Hurst exponent and multifractal detrended fluctuation analysis techniques we find out that crude oil market is efficient, do not contain long memory and the returns exhibit monofractal behaviour. On the other hand, petrol and diesel markets in the Czech Republic are not efficient, because their returns contain long-range dependence in autocorrelations and exhibit multifractal behaviour caused mostly by fat-tailed distribution. Thus, fuels can be modelled by complex methods like Markov switching multifractal model. JEL Classification C15, C16, C46 Keywords petrol, diesel, crude oil, long memory, multifrac- tality, GHE, MF-DFA Author's e-mail martin.baletka@ies-prague.org Supervisor's e-mail kristoufek@ies-prague.org Abstrakt Tato práce zkoumá škálování cen benzínu a motorové nafty v České repub- lice a ceny ropy na datech v období od ledna 2004 do února 2013. Použitím metod zobecněného Hurstova exponentu a multifraktální detrendované fluk- tuační analýzy jsme zjistili, že trh s ropou je efektivní, bez přítomnosti dlouhé paměti v autokorelacích a výnosy na trhu s ropou vykazují monofraktální...
Keywords: auto-corellation; diesel; fractal analysis; long memory; multifractal analysis; petrol; autokorelace; benzín; diesel; dlouhá paměť; fraktální analýza; multifraktální analýza

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/58556

Permalink: http://www.nusl.cz/ntk/nusl-327813


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