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Are realized moments useful for stock market returns analysis?
Saktor, Ira ; Baruník, Jozef (advisor) ; Kočenda, Evžen (referee)
This thesis analyzes the use of realized moments in asset pricing. The analysis is done using dataset containing log-returns for 29 of the most traded stocks and covering 10 years of data. The dataset is split into training set covering 7 years and test set covering 3 years of data. For each of the stocks a separate time series model is estimated. In evaluation of the quality of the models, metrics such as RMSE, MAD, accuracy in forecasting the sign of future returns, and returns achievable by executing trades based on the recommendations from the model are used. Even though the inclusion of realized moments does not provide significant improvements in terms of RMSE, it is found that realized skewness and kurtosis significantly contribute to explaining the returns of individual stocks as they lead to consistent improvements in identifying future positive, as well as negative, returns. Moreover, the recommendations from the models using realized moments can help us achieve significantly higher returns from trading stocks. Inclusion of the interaction terms for variance and returns, skewness and returns, and kurtosis and variance, provides additional improvement of forecasting accuracy, as well as improvements in returns achievable by executing transactions based on recommendations from the model....
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Comparative Analysis of Determinants of Trade in Services: Cases of Ireland and United Kingdom
Saktor, Ira ; Benáček, Vladimír (advisor) ; Paulus, Michal (referee)
This thesis aims to estimate determinants of Services Export from Ireland and United Kingdom. The main contribution of the research lies in the multiple aggregations and categories at which the determinants are examined. Also, this thesis is up to date, to the best knowledge of the author, one of the most exhaustive and deep studies applying gravity model of trade to the exports of services. The core of this thesis consists of the evaluation of determinants for Travel and Business Travel for both, Ireland and United Kingdom; and subsequent analysis of the differences. Furthermore, other categories are discussed. Gravity Model with additional explanatory variables is estimated using the Poisson Pseudo-Maximum Likelihood estimator and robust inference is based on large sample properties. We find that the impact of distance largely depends on category for which the model is estimated. Moreover, we have found substantial impact of both trading partners' GDP and perhaps surprisingly, relatively large and statistically significant impact of common legal origins, regardless of category and aggregation. On the other hand, we have found no evidence of significant impact of trade agreements. JEL Classification F01, F14, C23, C52 Keywords International trade; Determining factors of decision making of...
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