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Multivariate Dependence Modeling using Copulas
Klaus, Marek ; Šopov, Boril (advisor) ; Gapko, Petr (referee)
Multivariate volatility models, such as DCC MGARCH, are estimated under assumption of multivariate normal distribution of random variables, while this assumption has been rejected by empirical evidence. Therefore, the esti- mated conditional correlation may not explain the whole dependence struc- ture, since under non-normality the linear correlation is only one of the de- pendency measures. The aim of this thesis is to employ a copula function to the DCC MGARCH model, as copulas are able to link non-normal marginal distributions to create corresponding multivariate joint distribution. The copula-based MGARCH model with uncorrelated dependent errors permits to model conditional cor- relation by DCC-MGARCH and dependence by the copula function, sepa- rately and simultaneously. In other words the model aims to explain addi- tional dependence not captured by traditional DCC MGARCH model due to assumption of normality. In the empirical analysis we apply the model on datasets consisting primarily of stocks of the PX Index and on the pair of S&P500 and NASDAQ100 in order to compare the copula-based MGARCH model to traditional DCC MGARCH in terms of capturing the dependency structure. 1
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Resource curse theory - An example of Venezuela
Hruška, Pavel ; Kučerová, Irah (advisor) ; Krausz Hladká, Malvína (referee)
The main objective of this Master thesis was to test the claim that economic dependence on oil exports impedes enduring democratic stability in the case of Venezuela in the period of 1970-2010. This assumption was based on a broad resource curse theory which addresses negative economic, political and social consequences of precious resource export dependency. The hypothesis was that exogenous variables could intesify these malign consequences. In this study we focused on the role(s) performed by multinational oil corporations (MICs) in Venezuelan petroleum industry, on the impact of the nationalization of the oil sector and on the impact of the foundation of a state-owned corporation PDVSA, which became responsible for subsequent development of oil extraction. Fist, I proved that the nationalization led to profound restructuring of institutional and power relations that had negative impact on economic prosperity and stability of the democratic regime in a long-term perspective. Soon after its establishment the national oil corporation became an independent actor able to follow its own agenda and to promote its own economic and political interests and therefore polarized the already divided society. Second, I documented empirical evidence that corroborated most of the previous theoretical...
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The role of international community in the post-conflict reconstruction and development of Afghanistan during the transition period
Jemelíková, Veronika ; Karásek, Tomáš (advisor) ; Střítecký, Vít (referee)
Security, economic and societal challenges of the 21 century place demands on international community and deepens the need to precisely define this term and its role in the global development as well as the legitimacy of international organization, which often place themselves as representatives of the entire global community. Conflict in Afghanistan and its reconstruction is a great case study of mechanisms, which allow the international community to assess security challenges, apply former experience to respond and prepare for future operations. There are many lessons that can be learned from the case of Afghanistan. This article addresses the successes and failures connected with Afghan reconstruction and stabilization efforts and its impacts on development of the country. The article stresses the negative consequences of the international involvement as well as the deepening dependence of Afghanistan on foreign assistance.
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Multivariate Dependence Modeling Using Copulas
Klaus, Marek ; Šopov, Boril (advisor) ; Gapko, Petr (referee)
Multivariate volatility models, such as DCC MGARCH, are estimated under assumption of multivariate normal distribution of random variables, while this assumption have been rejected by empirical evidence. Therefore, the estimated conditional correlation may not explain the whole dependence structure, since under non-normality the linear correlation is only one of the dependency measures. The aim of this thesis is to employ a copula function to the DCC MGARCH model, as copulas are able to link non-normal marginal distributions to create corresponding multivariate joint distribution. The copula-based MGARCH model with uncorrelated dependent errors permits to model conditional cor- relation by DCC-MGARCH and dependence by the copula function, sepa- rately and simultaneously. In other words the model aims to explain addi- tional dependence not captured by traditional DCC MGARCH model due to assumption of normality. In the empirical analysis we apply the model on datasets consisting primarily of stocks of the PX Index and on the pair of S&P500 and NASDAQ100 in order to compare the copula-based MGARCH model to traditional DCC MGARCH in terms of capturing the dependency structure. 1
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Domestic Violence against Women
Tůmová, Nikola ; Hanušová, Jaroslava (advisor) ; Marádová, Eva (referee)
The objective of bachelor thesis is Domestic violence. The conception of domestic violence is defined in the theoretical part of my thesis. The main definitions and terminology are explained such as what the domestic violence is, who is affected by it and what forms it can be in. The legal framework and the epidemiology of it in the Czech Republic are mentioned. The practical part of my thesis is focused on the results of a questionnaire that was conducted in elementary and secondary schools.
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Using Infinispan as a Backend for CDI Contexts
Kövári, Adam ; Očenášek, Pavel (referee) ; Rychlý, Marek (advisor)
Tato práce vede čtenáře od vývoje kontextově závislé injekce v Java EE, ukazuje základní přehled o JSR 299, které se vyvinulo do rámce této specifikace a analyzuje referenční implementace Weld. V pozdějších částech je vytvořeno CDI rozšíření, které vytváří cluster-wide scope pomocí Infinispanu jako skladem dat, kterého základní vlastnosti jsou také prozkoumána.
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Project Interdependencies Management
Mazanec, Daniel ; Chocholatý, Drahomír (advisor) ; Maleček, Václav (referee)
This thesis describes a domain of interdependencies emerging in within the projects as well as between them, in situations, when these projects are about to reach the same objective using their shared deliverables or resources. In the IT projects area are such project interdependencies rather identified in majority of all ongoing projects - due to this reason, the theoretical part of this thesis describes relationship of areas of project, program and portfolio management as well as managing projects in the multi-project environment and dependency management. Based on the results of the theoretical part and acquired knowledge, the tools and techniques for managing such project interdependencies are presented in the practical part of this work. The aim of the theoretical part is to introduce the issue of management of interrelated projects and to identify the areas, in which the formation of dependencies and linkages occurs and is followed by the subsequent need of their management - then the practical part is focused on the exploration and presentation of the functionality of available tools and methods that can be used to manage projects interdependencies. When selecting the specific tools and methods, the practical part of this thesis further develops the results theoretical part and extends mapping and assignment of specific tools and methods in different areas of interdependencies and management levels. Due to this systematic approach to the interdependencies topic, which is firstly described on a theoretical level, and then extended with the practically - oriented attitude, the thesis points out where the interdependencies are, who is responsible for managing them and which tools and methods can be used to identify, describe control and work with them. A useful overview of this quite unknown area is provided by this thesis.
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Analysis of the dependence of the Czech economy on the German economy
Chrstoš, Tomáš ; Rybáček, Václav (advisor) ; Pícl, Michal (referee)
This work is engaged with dependence of the Czech economy on the development of the German economy. At first, it describes the theoretical basis for the balance of payments, its elements and factors affecting the balance of payments. The practical part consists of a comparative analysis of Czech and German balance of payments, which is followed by a regression analysis, which purpose is to determine the dependence of the Czech economy to German one. The work also deals with the dependence of individual sectors of these economies to each other and outlines the resultant benefits and risks.
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Mapping project dependencies
Šárová, Irena ; Chocholatý, Drahomír (advisor) ; Roháčová, Barbora (referee)
This thesis describes the issue of project dependencies. In managing projects we meet almost every time some kind of dependency. Currently, the project is almost never an isolated group of activity that is able to independently bring same value or result. Therefore, this issue occurs in many areas of managing project. The first theoretical part is focused on some of these areas. It describes disciplines such as Project, Program and Portfolio management. These areas are characterized and then described how they can solve project dependencies. The second part is focused on matrices DSM and DMM, which can serve as one of the methods to effectively manage all connections and dependencies in projects. Area DSM and DMM matrix is first explained and then are expressed its possibilities. In the last part are the information gained in the previous phase applied to a practical example in the banking environment. The method is applied to 25 projects that are guided in an unnamed banking institution. For these projects are set dimensions and are subsequently compiled specific DSM (Dependency Structure Matrix) and DMM (Domain Mapping Matrix) matrices. To certain dimensions is then used clustering method and on the resulting matrix is used simple matrix notation, such as transposition and matrix multiplication. It will create basically a tool, which is a network of all the dependencies between dimensions and projects that can simulate pre-defined scenarios.
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