|
|
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...
|
|
|
Modelling dependence between hydrological and meteorological variables measured on several stations
Turčičová, Marie ; Jarušková, Daniela (advisor) ; Hlávka, Zdeněk (referee)
Title: Modelling dependence between hydrological and meteorological variables measured on several stations Author: Bc. Marie Turčičová Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Daniela Jarušková CSc., Czech Technical University in Prague, Faculty of Civil Engineering, Department of Mathematics Abstract: The aim of the thesis is to explore the dependence of daily discharge averages of the Opava river on high daily precipitation values in its basin. Three methods are presented that can be used for analyzing the dependence between high values of random variables. Their application on the studied data is also given. First it is the tail-dependence coefficient that measures the dependence between high values of two continuous random variables. The model for the high quantiles of the discharge at a given precipitation value was first determined non-parametrically by quantile regression and then parametrically through the peaks-over-threshold (POT) method. Keywords: extremal dependence, tail-dependence coefficient, quantile regression, peaks over threshold method
|
|
|
Regression quantiles
Rusnák, Peter ; Kalina, Jan (advisor) ; Zvára, Karel (referee)
Title: Regression Quantiles Author: Peter Rusnák Department: Department of Probabilty and Mathematical Statistics Supervisor: RNDr. Jan Kalina, Ph.D.,Institute of Computer Science, AS CR Abstract: Quantile regression is a statistical method for specifying dependencies among variables, which was introduced by Koenker a Bassett in 1978. Since that time it has gone through a big development, when its theoretical properties have been under study, and it also has found many practical applications for data processing in variety of fields.While ordinary least-squares regression describes the relationship between one or more covariates X and the conditional mean of a response variable Y given X = x, quantile regression describes the relationship between X and the conditional quantiles of variable Y given X = x. This work contains the theory necessary for understanding relationship between standard and quantile regression and enabling include so received estimates to bigger group of M-estimates. The computation of coefficients for particular covariates is made by using Frisch-Newton algorithm belonging to methods of linear programming. The so-called regression ranks are also obtained as a by-product of this algorithm and we discuss their computational aspects and usage for hypothesis testing.In the second part, we...
|
|
|
Quantile Regression
Procházka, Jiří ; Bašta, Milan (advisor) ; Malá, Ivana (referee)
The thesis deals with brief introduction of the quantile regression theory. The thesis is divided into three thematic parts. In the first part the thesis deals with general introduction to the quantile regression, with theoretical aspects regarding quantile regression and with basic approaches to estimation of quantile regression parameters. The second part of the thesis focuses on general and asymptotic properties of the quantile regression. Goal of this part is to compare the quantile regression with traditional OLS regression and outline its possible application. In the third part the thesis describes statistical inference, construction of the confidence intervals and testing statistical hypotheses about quantile regression parameters. The goal of this part is to introduce traditional approach and the approach based on resampling procedures and in the end of the day perform mutual comparison of different approaches eventually propose partial modification.
|
|
|
Impact of online user reviews on demand for PC and video games
Veselá, Anna ; Mičúch, Marek (advisor) ; Hurník, Jaromír (referee)
The thesis examines impact of online user reviews, expressed in 5-star rating system, on demand for PC and video games. Used weekly data are collected from www.amazon.co.uk for period 2000 - 2012. The thesis contributes to discussion which takes place between supporters of superstar theory and supporters of long tail theory. Panel structure of the dataset referred to application of fixed effects model for estimation of basic and extended model. Both estimates proved negative influence of assigned number of stars on sales rank. Basic model estimated influence of one unit change of stars on rank by 9 positions, extended model estimated this change to be 10 positions. Quantile estimate also proved negative influence of stars on sales rank. The influence is strongest for the lowest quantile of dependent variable (tau = 0,05) representing 5 % best-selling titles, where one unit change of stars causes change of 35 positions in opposite direction. With increasing quantiles this influence decreases to zero. It proves that within the market for PC and video games online user reviews contribute to superstar effect.
|
|
|
Changes in the Czech wage structure: Does immigration matter?
Dybczak, Kamil ; Galuščák, Kamil
Using the Albrecht et al. (2003) version of the Machado and Mata (2005) decomposition technique along the wage distribution, writers find that immigrant workers do not affect changes in the Czech wage structure between 2002 and 2006 despite their substantial inflows. Instead, changes in the wage structure are explained solely by increasing returns of native workers, while changes in the observed characteristics of native workers, particularly a rising level of education, are responsible for increasing wage dispersion.
Fulltext:  PDF
|
|
| |
|
| |
|
|
Wage Inequality and Returns to Education: Evidence from Visegrad Countries
Votava, Tomáš ; Klosová, Anna (advisor) ; Pugh, Geoff (referee)
Wage inequality is a well-established phenomenon of contemporary labour markets both in the United States and Europe, frequently discussed in the contemporary labour economics literature. In the following paper, based on harmonised data of the EU-SILC database, a semi parametric technique of quantile regression has been applied together with the traditional OLS method in order to estimate the impact of returns to education on wages in the Visegrad Group countries, namely the Czech Republic, Poland, Hungary and Slovakia. The main aim of the analysis is to examine the returns to education in these countries in order to observe differences appearing across them as well as within selected groups formed according to both the highest level of education attained and a number of years spent in a paid work (experience).
|
|
|
Econometric Analysis of Microeconomic Processes. Application on Wages in the Czech Republic
Kalčevová, Jana ; Pánková, Václava (advisor) ; Arlt, Josef (referee) ; Cahlík, Tomáš (referee)
This thesis is focused on wages models on the czech labor market in 1996 and 2002. Wages models are built on non-trivial mathematical background and parameters of given models are estimated by methods based on sum of squared residuals and also not often used quantile regression. The quantile regression theory is described in the thesis together with test statistics. Properties of estimations, demonstration examples and proposal of practical application are also indroduced. The theory was applied to two large-size data-files, recieved results show the difference between years 1996 and 2002; a comparison with European Union countries is also given.
|
guest ::
