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Essays on Data-driven, Non-parametric Modelling of Time-series
Hanus, Luboš ; Vácha, Lukáš (advisor) ; Witzany, Jiří (referee) ; Ellington, Michael (referee) ; Trimborn, Simon (referee)
This thesis consists of four contributions to the literature on data-driven and non-parametric modelling of time series. In the first paper, we study the synchronisation of business cycles and propose a multivariate co-movement measure based on time-frequency cohesion. We suggest that economic inte- gration may lead to increased co-movement of business cycles, which may reflect the benefits of convergence and coordination of economic policies. The second paper presents a new methodology for identifying persistence in macroeconomic variables. Using time-varying frequency response func- tions, we identify heterogeneous persistence effects in US macroeconomic variables. The third and fourth papers propose data-driven techniques for probabilistic forecasting of time series using deep learning. We introduce a multi-output neural network that selects the most appropriate distribution for the data. The distributional neural network is valuable for modelling data with non-linear, non-Gaussian and asymmetric structures. The third paper demonstrates the usefulness of the method by estimating information-rich macroeconomic fan charts and distributional forecasts of asset returns. In the last paper, we present the distributional neural network to obtain the proba- bility distribution of electricity price...
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Analysis of Economic Indicators Using Statistical Methods
Picka, Václav ; Vaníček, Jiří (referee) ; Doubravský, Karel (advisor)
The thesis is focused on the analysis of economic indicators of Brno Transport Company, Inc. using statistical methods. The issue of time series, regression analysis and selected economic indicators is illustrated in the theoretical part. In the practical part the indicators will be analyzed using time series and regression analysis associated with their predictions for the future. The last part contains recommendations for possible determination of strategies and business objectives.
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Assessing Selected Indicators Using Time Series
Sittková, Miriam ; Dostál, Jakub (referee) ; Doubravský, Karel (advisor)
Bachelor's thesis analyses selected indicators using time series of the company M Computers s.r.o. Analysis of indicators is divided into two parts. The first part focuses on the theory about selected indicators and description of time series. The second part analyses indicators and their expected development in years 2013 and 2014. The work contains proposals for improving the financial situation of the company.
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Mathematical Methods in Economics
Koudelová, Tereza ; Šustrová, Tereza (referee) ; Novotná, Veronika (advisor)
The bachelor thesis is focused on the analysis of POEX Velké meziříčí a.s company’s basic situation and financial statements. The first part explains financial indicators and statistical methods. The second part is based on the theoretical knowledge, where the calculations of selected economic indicators are performed and the trend of development of these indicators is determined using the application of time series and regression analysis. Lastly, the thesis summarises the financial situation of the POEX company and make suggestions to improve the company’s future behaviour.
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Assessing the Efficiency of a Company Using Statistical Method
Herčková, Simona ; Novotná, Veronika (referee) ; Doubravský, Karel (advisor)
The master’s thesis deals with the assessment of the financial performance of the company using statistical methods. The theoretical part describes the issues necessary for the practical part, financial indicators, time series, regression analysis and correlation analysis. In the practical part of the work is a calculation of selected financial indicators, then statistical methods are used to predict future developments and to detect dependencies between the indexes. The last section contains suggestions for improving the current situation.
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Analysis of the Company Rastr elektro s.r.o. Using Time Series
Šebestová, Monika ; Kurfürstová, Vladana (referee) ; Doubravský, Karel (advisor)
The bachelor´s thesis deals with the financial analysis of the company Rastr elektro s.r.o. using statistical methods. The theoretical part describes the problems of time series, regression analysis and financial analysis. In the practical part the analysis of economic indicators is given, and the future development of the company is predicated by means of the regression analysis. On the basis of established results the company is compared with two rival ones, and there are made suggestions how to improve its economic position.
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The Use of Statistical Methods for Data Processing
Krygielová, Lucie ; Šustrová, Tereza (referee) ; Novotná, Veronika (advisor)
This thesis deals with the optimization of the supply process of a small business, especially with determining the optimal inventory level and demand forecasting, using tools of time series analysis. The final part gives a description of the creation of the program that is used to calculate individual indicators and forecasts. The aim is to increase the efficiency of the supply process, thereby reducing operating costs of the company.
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