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Yield Curve Modeling and the Effect of Macroeconomic Drivers: Dynamic Nelson-Siegel Approach
Patáková, Magdalena ; Šopov, Boril (advisor) ; Vošvrda, Miloslav (referee)
The thesis focuses on the yield curve modeling using the dynamic Nelson-Siegel approach. We propose two models of the yield curve and apply them on four currency areas - USD, EUR, GBP and CZK. At first, we distill the entire yield curve into the time-varying level, slope and curvature factors and estimate the parameters for individual currencies. Subsequently, we build a novel model investigating to what extent unobservable factors of the dynamic Nelson-Siegel model are determined by macroeconomic drivers. The main contribution of this thesis resides in the innovative approach to yield curve modeling with the application of advanced technical tools. Our primary objective was to increase the accuracy and the estimation power of the model. Moreover, we applied both models across different currency areas, which enabled us to compare the dynamics of the yield curves as well as the influence of the macroeconomic drivers. Interestingly, the results proved that both models we developed not only demonstrate strong validity, but also produce powerful estimates across all examined currencies. In addition, the incorporated macroeconomic factors contributed to reach higher precision of the modeling. JEL Classification: C51, C53, G17 Keywords: Nelson-Siegel, Kalman filter, Kalman smoother, Stace space formulation...
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Tatra Kopřivnice 1919-1945 : the premium brand of the Czechoslovak industry
Patáková, Magdalena ; Kameníček, Jiří (referee) ; Půlpán, Karel (advisor)
The Tatra automotive brand has become one of the most outstanding symbols of the Czechoslovak industry and has become famous all over the world, too. The aim of this bachelor thesis is to discover the most important reasons that led to the economic success of Tatra Kopřivnice vehicle manufacturer. It focuses on the period of the biggest expansion of the company from the establishment of the Czechoslovak republic up to the end of the Second World War - the period of 1919 - 1945. Particular chapters offer an analysis of the company's structure and its management system as well as techno - economic parameters of production, marketing and advertising. Then we explore the position of Tatra company within the Czechoslovak automotive industry and also the international automotive trade. Last but not least, we focus on the area of human resources. In the thesis, there are included materials from the company's archive that have not yet been published, as well as information from interviews with employees of the Technical Museum of Tatra Kopřivnice.
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