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Software products for financial time series analysis
Vlasáková, Romana ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
The present work deals with selected methods suitable to work with financial time series. Firstly, univariate linear models ARMA are introduced, followed by the description of volatility models ARCH and their generalization to GARCH models. There are many modifications of standard GARCH models designed with respect to the nature of financial data, some of which are presented. Another part of the work dealing with multiple time series focuses on VAR models and bivariate GARCH models. The most important part of the work are practical examples of building the theoretically described models in various types of software with built-in procedures for time series analysis. We apply five different types of commercial and non-commercial software, namely EViews, Mathematica, R, S-PLUS and XploRe. The used software products are presented and compared in terms of their capabilities and the results obtained for particular methods.
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Media image of czech fine art in czech media in 1948-53
Dušková, Kateřina ; Köpplová, Barbara (advisor) ; Knapík, Jiří (referee)
The thesis aims to describe the media image of the czech fine art during 1948-1953 in the cultural periodicals "Kulturní politika", "Tvorba", "Var" and "Lidové noviny". It focuses on two topics that occurred most frequently in these periodicals;That is the definition of art and socialist realism and shaping artists and society. Social realism is characterized not only by description, but also by inspiration sources like Czech fine art of 19th century and the tendency to oppose competitive or similar artistic styles and trends like formalism, naturalism, academicism and kitsch. Shaping the artists and society is understood in terms of upringing, education and enlightenment. In connection with these two areas this thesis focuses on history, cultural policy of the Communist Party, the organizational structure of artistic production, distribution of art, shaping artists, penetration of art into public and private space, socialist realism and an attitude of visual artists to new conditions of artistic production. Different features were also included to capture the uniqueness of each periodical. The starting point of the thesis is a historical and qualitative analysis.
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Residential real estate market during the financial crisis : empirical evidence from the CEE region
Hrachovec, Martin ; Vacek, Pavel (advisor) ; Streblov, Pavel (referee)
1 Abstract This thesis investigates the housing price determinants and possibilities of housing price bubbles in the residential real estate markets of Central and Eastern Europe before and during the economic crisis of 2007-2009. Using data from international institutions, national central banks and national statistical offices three quantitative methods are applied. Price-to-income ratios suggest housing price bubbles that were eliminated during the crisis in three out of five countries covered. Second approach of simple panel data models sheds additional light on housing price bubbles and indicates GDP growth, unemployment and average real wage as the main determinants of housing prices in the region. First indication of severe housing price persistence in CEE is demonstrated by the results of the models as well. More reliable results for housing price determinants are obtained from variance decomposition and impulse response functions of vector autoregression models. Each country is modeled separately and substantial differences exist between the countries. Poland is the only country that does not exhibit housing price persistence and dynamics in Austria are less volatile as compared to the new EU members in the sample. JEL Classification G12, E39, R21, R31, R32 Keywords residential real estate, housing...
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The globalisation of the Chinese financial sector
Reyisha, Ahemaitijiang ; Teplý, Petr (advisor) ; Havránková, Zuzana (referee)
In this thesis we have studied China's financial sector globalisation by analysing the determinants of Chinese banking sector profitability, and the relationship between GDP growth and FDI inflows. For estimating the Chinese banking sector profitability, we applied system GMM estimation on the annual data of 56 banks currently in China. The time period of the data is from 2002-2011. We found out that both internal and external factors have impact on the Chinese banking sector profitability. As we have expected financial sector globalisation has positive impact on the profitability of banking industry. For analysing the impacts of financial sector globalisation in terms of FDI contribution to the Chinese economy, we have tested the relationship between FDI and GDP by running the VAR model on the macro data over the time period of 1987-2011. We have found that GDP growth explains the rapid development of FDI, and FDI indirectly influences the GDP growth by influencing the domestic investments.
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Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis
Jánský, Ivo ; Rippel, Milan (advisor) ; Seidler, Jakub (referee)
The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index sepa- rately. Unlike other works in this eld of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a partic- ular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.
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Modeling Conditional Quantiles of Central European Stock Market Returns
Burdová, Diana ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
Most of the literature on Value at Risk concentrates on the unconditional nonparametric or parametric approach to VaR estimation and much less on the direct modeling of conditional quantiles. This thesis focuses on the direct conditional VaR modeling, using the flexible quantile regression and hence imposing no restrictions on the return distribution. We apply semiparamet- ric Conditional Autoregressive Value at Risk (CAViaR) models that allow time-variation of the conditional distribution of returns and also different time-variation for different quantiles on four stock price indices: Czech PX, Hungarian BUX, German DAX and U.S. S&P 500. The objective is to inves- tigate how the introduction of dynamics impacts VaR accuracy. The main contribution lies firstly in the primary application of this approach on Cen- tral European stock market and secondly in the fact that we investigate the impact on VaR accuracy during the pre-crisis period and also the period covering the global financial crisis. Our results show that CAViaR models perform very well in describing the evolution of the quantiles, both in abso- lute terms and relative to the benchmark parametric models. Not only do they provide generally a better fit, they are also able to produce accurate forecasts. CAViaR models may be therefore used as a...
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Impact of the CNB's interventions on the economz and comparison with other countries
Pjontek, Matej ; Hlaváček, Michal (advisor) ; Břízová, Pavla (referee)
This bachelor thesis analyzes influence of foreign exchange intervention of CNB on economy and compare it with influences of foreign exchange intervention of SNB and BOI on their economies. At first, we compare foreign exchange interventions and development of economies (banking sector, foreign trade,...) of Czech Republic, Switzerland and Israel. A hypothesis of efficiency of foreign exchange interventions of CNB, SNB and BOI is tested on specific empirical data. The bachelor thesis describes VAR model for given countries with basic macroeconomic variables (GDP growth, money supply, inflation, interest rate, nominal effective exchange rate and balance of current account of balance of payments). The results of model show on relative efficiency of foreign exchange interventions i.e. SNB mitigated influence of appreciation of CHF, CNB supported GDP growth and BOI increased foreign exchange reserves and supported GDP growth.
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Global Financial Crisis: causes and consequences - The case of developed vs developing economies in CEE region
Zhu, Yongyan ; Semerák, Vilém (advisor) ; Akdogan, Idil (referee) ; Paulus, Michal (referee)
The great recession of 2008-2010 has impacted the world's economy, which has begun with the sub-prime crisis in the US subprime mortgage market and subsequently spread to the world economy through the contagion effect. Moreover, the influence of the recession on the other nation's economy has been markedly differentiated, depending on their vulnerability to financial system problems (credit crunch, liquidity inflows). Some countries were hit very hard and experienced a drop in GDP, rising unemployment, etc. However, other countries were affected slightly, or the direct effects on them were not visible. Similarly, Central and Eastern Europe (CEE) countries have experienced a very differentiated course of the crisis. As a result of the recession, economic policymakers have tightened financial supervision and regulatory frameworks. This study adopts seven Eastern and Central European Countries (Poland, including Czech Republic, Hungary, Romania, Slovakia, Lithuania and Bulgaria) and analyzes the effect of recession on the stock market of the selected countries. The relevant leading stock market indices of individual countries are adopted as an indicator of the development of the financial market. Monthly data for January 2000-May 2021 is used, and this period is further divided into two samples...
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How Common Currency Influences the Business Cycles in Central and East European Countries.
Wang, Yue ; Semerák, Vilém (advisor) ; Li, Yating (referee) ; Jeřábek, Petr (referee)
This paper investigates how the introduce of single currency influence on the synchronization of business cycles in Central Eastern European Countries. The Hodrick-Prescott filter is applied to extract the cyclical component of real GDP for fifteen European countries and the Vector Autoregression models are applied to further investigate the influence of fiscal policy on regional economies. A database of quarterly real GDP for business cycles and quarterly current account for fiscal variables for the period: 1995Q1-2019Q4 is constructed. The main results of the study can be summarized as follows. The establishment of Economy Monetary Union has significantly increased the level of co-movement across euro area member states. There is a high degree of synchronization of business cycles in core countries than periphery countries after the introduce of common currency. For CEEC-7 including non-Eurozone countries (Czech Republic, Hungary, Poland) and Eurozone countries (Estonia, Germany, Slovakia, Slovenia), clusters in correlation exist because their GDP reacts differently to the fiscal shocks especially after the global financial crisis and ongoing euro area crisis. Key words business cycle synchronization; Economic integration; Fiscal policy; VAR
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