Original title:
Markovovy řetězce vyšších řádů a jejich aplikace v ekonometrii
Translated title:
Higher - order Markov chains and applications in econometrics
Authors:
Straňáková, Alena ; Prášková, Zuzana (advisor) ; Sladký, Karel (referee) Document type: Master’s theses
Year:
2009
Language:
cze Abstract:
In this paper, we generalize Raftery's model of Markov chain to a higher-order multivariate Markov chain model. This model is more suitable for practical applications because of smaller number of independent parameters. We propose a method of estimation of parameters of the model and apply it to the Credit risk measuring of a portfolio. We compute Value at Risk and Expected Shortfall in this portfolio. Theoretical results are applied to real data.
Institution: Charles University Faculties (theses)
(web)
Document availability information: Available in the Charles University Digital Repository. Original record: http://hdl.handle.net/20.500.11956/27659