National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
Power markets and the EU ETS: How volatility propagates across Central Europe?
Jurka, Vojtěch ; Baruník, Jozef (advisor) ; Čech, František (referee)
The thesis deals with connectedness in the uncertainty of the carbon and power markets in Central Europe. While the drivers of power price were extensively documented in the literature, we investigate how uncertainty propagates between the German power market and its production factors using a recently developed framework of connectedness measurement. The connections in uncertainty on markets are insightful for the decision of the agents that require a premium for undertaking risk. The empirical results suggest that connectedness in uncertainty significantly varies over the studied period. The interdependence of power with coal decreases while the spillovers between gas and power rise on importance reflecting the changes in generation mix of Germany. For most of the period, the volatility of carbon and power markets is highly correlated. However, the share of volatility transmission spikes several times during the period of 2016-2019. In reaction to the reform of the EU Emission Trading Scheme, the uncertainty about emission allowance prices propagates to the German power market, increasing the uncertainty about power prices on the long horizon.
Volatility modeling
Jurka, Vojtěch ; Prášková, Zuzana (advisor) ; Večeř, Jan (referee)
In the thesis we deal with modelling volatility conditional on past shocks. Traditional ARCH and GARCH models proposed by Engle(1982) and Bollerslev(1986) are investigated as well as several generalizations of GARCH model that capture asymmetric reaction on positive and negative excess returns, namely GJR-GARCH, TGARCH and EGARCH. Selected models are then applied to four commodities traded on Chicago Mercantile Exchange that represent various sectors of commodity market. Our first key finding is that in short horizon all considered models have similar performance, while in longer horizon, EGARCH and TGARCH give more precise results. The second is that, measured by an average percentage error, there is no significant difference in quality of predictions among selected assets across commodity sectors.
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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2 Jurka, Vít
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