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Introspection
Buzková, Petra ; Zálešák, Jan (referee) ; Kvíčala, Petr (advisor)
The main theme of my work is introspection. I watch their perceptions with which the work in pictures. Feelings are based on the most intense experiences of the landscape that makes you aware of herself and time, whether it is the past and its memories or related to the presence and subsequent future. These dimensions of time and awareness of their role in it processed in a larger format paintings, which is represented in the landscape, figure, or a fragment thereof and an artifact that link to memories of childhood. Furthermore, I come from the ideas of Thomas Moore contained in the Book of the soul with which I agree. In small format displays philosophical and psychological ideas of the author, based on generally accepted theories of human psychology. Moore Certain considerations addressed in the analysis of the images of themselves, but they are also generally applicable. Processing internal processes so that the audience for them to install their own.
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Commodity Connectedness: Short-run Versus Long-run
Jurka, Vojtěch ; Baruník, Jozef (advisor) ; Buzková, Petra (referee)
Commodity Connectedness: Short-run Versus Long-run Vojtěch Jurka Bachelor Thesis, IES FSV UK, 2018 The thesis contributes to empirical literature that studies volatility spillovers among the commodity and equity market, focusing on short-term and long-term linkages between them. Studying the persistence of volatility transmission is helpful for understanding the information flow, which is crucial for risk management and regulators. The persistence of volatility linkages represents how quickly information can be processed by markets. In this work, we explain the theoretical background of connectedness measures proposed by Diebold and Yilmaz (2012) and show the relationship with measures defined in the frequency domain by Baruník and Křehlík (2018), that allows us to distinguish between short and long persistent shocks in volatility of markets. We continue with the analysis of volatility transmission among stock market and key commodities which represents various sectors of the commodity market. Our first key finding is that in the period 1993- 2015 spillovers among markets more than doubled and persistence of connections have increased. Using a rolling sample over 250 days, we evaluate rich dynamics of connections between equity and commodity sectors. The dynamic analysis reveals that the global financial...
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Regulation of Hedge Funds and Private Equity in the Light of the Global Financial Crisis
Šinka, Michal ; Teplý, Petr (advisor) ; Buzková, Petra (referee)
The aim of the thesis is to analyse the non-bank regulatory framework with particular attention devoted to hedge funds and private equity funds. The thesis describes functioning of the funds, discusses their performance during the global financial crisis of 2007-present and, predominantly, describes and analyses the EU and U.S. regulatory reforms with respect to these institutions which have arisen as a response to the crisis. Based on the analysis of the measures incorporated in these reforms, the thesis outlines its own proposal of an alternative investment fund regulatory framework which, if applied, would lead to a more efficient functioning of the alternative investment industry than what is likely to be the outcome of the already adopted reforms. The nature of the thesis is institutional; its methodology is characterized by a broad literature survey. Hedge funds and private equity funds are considered both in pre-crisis context as well as in circumstances that have been brought about by the crisis. Several hypotheses concerning systemic risk and the approach of the regulatory reforms to it are assessed. Mostly qualitative analysis is employed to evaluate the hypotheses.
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The implications of the financial crisis on a mutual funds investments in the Czech Republic
Bartas, Jan ; Rippel, Milan (advisor) ; Buzková, Petra (referee)
In this thesis we examined the implications of the financial crisis from the September 2008 for investments into mutual funds in the Czech Republic. We compared this implication for worldwide, European and Czech mutual funds market. Using the linear regression (ordinary least squares) with dummy variables we proved that crisis had implication not just for the whole level of invested financial resources but for the structure of mutual funds market as well. We showed that the crisis occurred at the world and European markets between 3rd quarter of 2007 and 1st quarter of 2009 meanwhile between 3rd quarter of 2008 and 2nd quarter of 2009 at the Czech mutual funds market. We tested these hypotheses as well: 1) influence of stock share index on the price of equity funds, 2) influence of the short interest rate on the price of money market funds, 3) influence of the long term interest rate on the price of bond funds under the conditions of the Czech mutual funds market.
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Rent deregulation in the Central and Eastern Europe
Malecká, Anna ; Hlaváček, Michal (advisor) ; Buzková, Petra (referee)
This thesis deals with the theme of rent deregulation in selected countries in Central and Eastern Europe, attention is paid to the comparison between the Czech Republic and Slovakia. There are theoretically described the characteristics and impacts of rent control and its possible elimination through privatization and deregulation. The thesis summarizes the specifics of regulation and deregulation process in the Czech Republic, Slovakia and Poland since its beginning in the first half of the 20th century to the present. It focuses on the Czech and Slovak law on unilateral rent increases and a Polish citizen's complaint to the European Court of Human Rights. The second part is devoted to a more detailed comparison of the impacts of regulation, such as the proportion of rental housing in the total housing stock and the rate of internal migration, in the Czech Republic, Slovakia and in their regions. The rate and speed of deregulation in both countries is also compared. Powered by TCPDF (www.tcpdf.org)
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A time-varying copula approach to equity market contagion
Horáčková, Petra ; Baruník, Jozef (advisor) ; Buzková, Petra (referee)
The dependence structures in financial markets count among the most frequently discussed topics in the recent literature. However, no general consensus on modeling of the cross-market linkages has been reached. This thesis analyses the dependence structure and contagion in the financial markets in Central and Eastern Europe. Tail dependence, symmetry and dynamics of the dependence structure are examined. A conditional copula framework extended by recently developed dynamic generalized autoregressive score (GAS) model is used to capture the conditional time-varying joint distribution of stock market returns. Considering the Czech, Croatian, Hungarian, Austrian and Polish stock market indices over the 2005-2012 period, we find that time-varying Student's t GAS copula provides the best fit. The results show, that the degree of dependence increases substantially during the global financial crisis, having a direct impact on portfolio optimization.
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Credit Derivatives Market during Recent Financial Crisis
Buzková, Petra ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Dědek, Oldřich (referee)
The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
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Commodity Connectedness: Short-run Versus Long-run
Jurka, Vojtěch ; Baruník, Jozef (advisor) ; Buzková, Petra (referee)
Commodity Connectedness: Short-run Versus Long-run Vojtěch Jurka Bachelor Thesis, IES FSV UK, 2018 The thesis contributes to empirical literature that studies volatility spillovers among the commodity and equity market, focusing on short-term and long-term linkages between them. Studying the persistence of volatility transmission is helpful for understanding the information flow, which is crucial for risk management and regulators. The persistence of volatility linkages represents how quickly information can be processed by markets. In this work, we explain the theoretical background of connectedness measures proposed by Diebold and Yilmaz (2012) and show the relationship with measures defined in the frequency domain by Baruník and Křehlík (2018), that allows us to distinguish between short and long persistent shocks in volatility of markets. We continue with the analysis of volatility transmission among stock market and key commodities which represents various sectors of the commodity market. Our first key finding is that in the period 1993- 2015 spillovers among markets more than doubled and persistence of connections have increased. Using a rolling sample over 250 days, we evaluate rich dynamics of connections between equity and commodity sectors. The dynamic analysis reveals that the global financial...
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