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Clustering and regression analysis of micro panel data
Sobíšek, Lukáš ; Pecáková, Iva (advisor) ; Komárek, Arnošt (referee) ; Brabec, Marek (referee)
The main purpose of panel studies is to analyze changes in values of studied variables over time. In micro panel research, a large number of elements are periodically observed within the relatively short time period of just a few years. Moreover, the number of repeated measurements is small. This dissertation deals with contemporary approaches to the regression and the clustering analysis of micro panel data. One of the approaches to the micro panel analysis is to use multivariate statistical models originally designed for crosssectional data and modify them in order to take into account the within-subject correlation. The thesis summarizes available tools for the regression analysis of micro panel data. The known and currently used linear mixed effects models for a normally distributed dependent variable are recapitulated. Besides that, new approaches for analysis of a response variable with other than normal distribution are presented. These approaches include the generalized marginal linear model, the generalized linear mixed effects model and the Bayesian modelling approach. In addition to describing the aforementioned models, the paper also includes a brief overview of their implementation in the R software. The difficulty with the regression models adjusted for micro panel data is the ambiguity of their parameters estimation. This thesis proposes a way to improve the estimations through the cluster analysis. For this reason, the thesis also contains a description of methods of the cluster analysis of micro panel data. Because supply of the methods is limited, the main goal of this paper is to devise its own two-step approach for clustering micro panel data. In the first step, the panel data are transformed into a static form using a set of proposed characteristics of dynamics. These characteristics represent different features of time course of the observed variables. In the second step, the elements are clustered by conventional spatial clustering techniques (agglomerative clustering and the C-means partitioning). The clustering is based on a dissimilarity matrix of the values of clustering variables calculated in the first step. Another goal of this paper is to find out whether the suggested procedure leads to an improvement in quality of the regression models for this type of data. By means of a simulation study, the procedure drafted herein is compared to the procedure applied in the kml package of the R software, as well as to the clustering characteristics proposed by Urso (2004). The simulation study demonstrated better results of the proposed combination of clustering variables as compared to the other combinations currently used. A corresponding script written in the R-language represents another benefit of this paper. It is available on the attached CD and it can be used for analyses of readers own micro panel data.
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Use of Interest Rate Models for Interest Rate Risk Management in the Czech Financial Market Environment
Cíchová Králová, Dana ; Arlt, Josef (advisor) ; Cipra, Tomáš (referee) ; Witzany, Jiří (referee)
The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.
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Opportunities for Young People up to 30 Years Old in the Labor Market in the District of Písek
KABÁTOVÁ, Zuzana
The Bachelor´s thesis called "Opportunities of young people up to the age of 30 on the labour market in Písek district" deals with the unemployment issue of young people target group, problems with their placement on the labour market and the structure of vacancies in comparison with qualification criteria in a set group in Písek district. Fresh graduates applying for their first job are considerably disadvantaged in competition with other applicants. They lack of job experience as well as basic working habits; what is more, they fail in being acknowledged with the labour market and employers´ requirements on their future employees. Their unreal visions often contribute to their unemployment, too. Theoretical part clarifies the phenomenon of unemployment and various types of unemployment from frictional, cyclical, seasonal to structural unemployment are confronted. The other theoretical part deals with labour market in general, supply and demand of workforce, job offers and study programmes offers so that there is an equilibrium of the number of graduates at various specialisations and demands of labour market. More attention is paid to the importance of work for a young person, which is the precondition for one´s independence and taking over the responsibility for work done. The problem of young people and unemployment has become so serious that European Union decided to deal with it. One proposal of European Parliament suggests that the state ought to guarantee young people the security for work, offers of requalification courses or work internships. These measures ought to contribute to the prevention of unemployment within this target group. One of the goals covers the field of employment and considers decreasing the unemployment rate of juvenile and young people between the ages of 15 and 24 by a third (compared with the year 2010). The aim of the practical part of the thesis was to find out what visions of young people concerning to their involvement in labour market are like, if they correspond with their conditions and capabilities, whether they look for jobs entirely in their field of study or they are interested in requalification if needed. Questionnaire survey was used for confirmation the hypothesis. The practical part states the results of field research which was carried out in the form of anonymous questionnaire. The questionnaire survey inquired about education of the target group of young people up to the age of 30, their knowledge and skills in the fields of foreign languages, computer literacy and driving vehicles. The survey inquired about the graduates´ willingness to work in shifts, in jobs involving business trips, in various working environments as well as their willingness to work aside their qualification fields. Their near-future visions were verified, i.e. the interest in early job placement, their own activity in looking for a job, the effort to enlarge their qualifications. The final part includes some recommendations aimed at prevention of unemployment particularly focused on acquiring practical skills and habits.
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Building and use of smaller computer networks
Kyzivát, Marek ; Pinkas, Otakar (advisor) ; Šmejkal, Ivo (referee)
The thesis describes the initial state of the computer network Basic Schools and Kindergartens Ohradní (ZŠMŠ Ohradní) in Prague 4 and then its reconstruction, which I largely contributed. ZŠMŠ Ohradní consists of four pavilions and from one building on the other side of the street. The aim of this study is to assess the initial state of the network and point out the shortcomings that we discovered. We found deficiencies in the operation stress tests, measurements and data cabling overall analysis. Original networks connectivity was 100Mb/s. Together with a colleague, we are network administrators. Furthermore, I am going to introduce a new form of network, which has identified deficiencies improved, by using on newer technologies. I will describe its structure, address allocation, active and passive components, and operated services. New network is capable of 1Gb/s, and its spine is going to be 10Gb/s soon. Benefits of this reconstruction is faster, more stable and more modern network that will facilitate the work of employees of ZŠMŠ Ohradní. To these improvements, I have mainly contributed by measurements. I participated in the design and implementation of new form of data network. I collaborated with fellow Poc to the configuration of active elements and network services in reconstructed network.
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The perspectives of tourism in the Canary Islands (with special focus on Gran Canaria)
Pazderová, Monika ; Abrhám, Josef (advisor) ; Havlíčková, Blanka (referee)
The Bachelor´s thesis is aimed at discussing tourism and analyzing diffferent perspectives of developement in the Canary Islands, namely in the island of Gran Canaria. The goal of this thesis will first be to evaluace the current situation of tourism in Gran Canaria. It is necessary to find the various perpectives of developement for this area, while also assessing strategic proposal plans in order to increase the competitive ability. The theorical section of this thesis is focused on tourism determination, and destination of tourism. In addition, the origin and developement of tourism in the Canary Islands is discussed. The practical part of this thesis is focused on tourism in Gran Canaria; the life cycle is applied to the destination of Gran Canaria, and there is a complete description of the attractions and infrastructure of the destination. Additionally, a SWOT analysis will take place analyzing the strengths, weakeness, opportunities and threats of tourism in Gran Canaria. In the final chapter, suggestions and solutions for tourism in Gran Canaria will be made based on strategic plans from the Canary institutions of tourism.
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The Asian financial crisis and post-crisis development of newly industrialized countries of Asia
Panchenko, Victoria ; Bolotov, Ilya (advisor) ; Černá, Iveta (referee)
This thesis analyzes the Asian financial crisis by providing a comprehensive view of the development of the economies of the Asian newly industrialized countries before and after the outbreak of the crisis. The aim of this paper is to explore and understand the causes of the crisis and derive practical lessons. The work is structured as follows. The first chapter is theoretical and defines newly industrialized countries by focusing on the characteristics of the economic and social status of these countries in a period of prosperity. The second chapter examines the financial crisis in 1997 - its origin, causes, indicators and progress. The last chapter discusses the impact of the crisis both on countries of Southeast Asia and on the world economy overall. Afterwards, summarizing of the lessons that can be learned from the Asian financial crisis and that remain urgent even nowadays is outlined.
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Process Analysis As the Basis for the Implementation of a New Information System
Kmochova, Zdena ; Říhová, Zora (advisor) ; Svatá, Vlasta (referee)
The main objective of this thesis is to analyze the processes in the company POP service, Ltd., also to analyze the current problem in this company and to recommend and propose measures which eliminate the causes of the emergence of the problem. The causes originate from the aspects of the management of people and processes are identified through the analysis of processes associated with the problem and eliminated on the basis of proposals metrics and responsibilities for these processes. The theoretical part of the thesis is devoted to concepts in the field of process management. The theoretical part characterizes these concepts process management, business processes, process analysis and process modeling methods, process maps, graphical notation for writing business processes, business process improvement and analysis organization. In the second part of the thesis is presented the examined organizations POP service, Ltd.. Based on the analysis of the current state are defined vision, mission and goals of the organization. Then there is described a procedure of the analysis of the current state, which is process analysis and proposal of selected processes, metrics and responsibilities for these processes. Methods of analysis are SWOT analysis, analysis of the activities, structured interviews and process analysis. The result of this thesis is to analyze the selection of processes of the company POP service, Ltd., proposal metrics, define jobs and responsibilities and suggestions for improving the selected process.
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The Conclusion of a Contract under the United Nations Convention on Contracts for the International Sale of Goods in Comparison with Czech National Legislation
Krčálová, Kristýna ; Boháček, Martin (advisor) ; Levý, Jan (referee)
This Master's thesis focuses on the United Nations Convention on Contracts for the International Sale of Goods (CISG), better known as the Vienna Convention. The main purpose of this thesis is to evaluate conditions for application of this international treaty and to assess the contracting process under the CISG including the similarities and differences with the Czech national legislation. Finally, it seeks an answer to the question, which of these rules (international or national) are more advantageous for a Czech contractual party with respect to concluding a contract. The thesis is divided into five parts. The first one represents an introduction to the CISG, its origin and the Czech Republic's attitude to it. The second part identifies the conditions for application of the CISG and therefore defines a subject and an object of an international contract of sale under the CISG. Both third and fourth parts gradually introduce two phases of the contracting process (offer and acceptance) including the relevant case-law. The last chapter strives to complete the contracting process with an analysis of the exact moment, when a contract is concluded, as well as with an analysis of a potential battle of the forms and its impact on a contract conclusion.
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Fytochemical potencial of polyfenols contain in berries
KRUMPHANZLOVÁ, Iva
This thesis sums up findings on polyphenols and their positive influence on human health. In these fytochemicals, unlike in micronutrients, recommended daily amount cannot be estimated. Micronutrient deficiency in food can cause deficiency symptoms, while in polyphenol deficiency, the deficiency does not occur. When they are present in sufficient amount in food, it is considered functional food, which is important for civilization illnesses prevention. At the beginning of the theoretical part, the polyphenol classification from pharmacological and chemical point of view is represented. On the basis of this classification important role of antioxidants and flavonoids is described. Special attention is being paid to resveratrol, which is populardue to its well known "French paradox". The following part considers the polyphenol influence on human health. The way in which polyphenols protect our body from certain diseases is explained in detail. Most of the health benefits are supported by studies conducted on animals. These studies are also mentioned and described in this paper. In the theoretical part the process of absorption and the polyphenols safety for human body is also explained. Polyphenol sources are listed in the last subchapter. The work is mainly aimed at blueberry fruits (Vaccinium myrtillus) and vine grapes (Vitis vinifera). Other berries are briefly mentioned as well, such as cranberries, raspberries, blackberries and currant. The goal of this work is to create a diet that would provide a functional daily amount of polyphenols. This amount can be compared to 120 ml of native blueberries. Only products, consumable without cooking, are used in this diet. The second goal is to chart, which food products are adequate source of polyphenols. On the basis of these goals, research inquiries were defined. Research inquiry No. 1: What amount of polyphenols is contained in berries, especially blueberries. Research inquiry No. 2: Which food products (without cooking) are ideal to be included in diet, to provide adequate daily amount of polyphenols. To asses polyphenol content in blueberries, analysis of polyphenol content acquired through GEOMED program from Nemocnice České Budějovice a.s., department of clinical pharmacology, was used. Assessments were made using the HPLC method (high performance liquid chromatography) in cooperation with the biological centre AV ČR in České Budějovice. Thanks to this analysis, the first inquiry can be answered. An interesting phenomenon is discovered, that frozen blueberries have higher polyphenol content then cooled ones. Malvidin (malvidin-3-6"-acetoyl glycoside) was chosen as priority anthocyan since it is most represented in the blueberry. Remaining information about polyphenol content in certain food products were drawn on Joseph Maroon´s book, MD, FACS (2010). The practical part involves a diet for 14 days, which meets the given requirements. The results clearly show that it is possible to create a diet rich in polyphenols. A list of blueberry products accessible to everyone is included. Blueberry dairy products, jams, beverages, fruit salads and fruit pyre have been analysed. The list shows which product contains the most polyphenols. The required amount can be achieved by the proper combination of given products. The ideal one proved to be 200 ml of red wine and one blueberry dairy product (with the malvidin value higher than 64). Findings in this paper will serve to promote polyphenol awareness and itseffects. This diet can be used in nursing homes, where their positive influence on equilibrium can be applied. It can also be used in spas and other alimentation related facilities.
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