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Return and volatility spillovers across financial markets in Central Europe
Ketzer, Jaroslav ; Baruník, Jozef (advisor) ; Čech, František (referee)
This diploma thesis is devoted to the linkages among stock, bond and foreign exchange markets in the Czech Republic, Austria, Germany and Poland during the period from the beginning of the year 2007 to the end of the year 2014. In order to complexly describe the interconnections among the markets, we utilized two kinds of spillover indices (from the generalized and structural VAR model), dynamic correlation coefficients obtained from the multivariate GARCH model and contemporaneous coefficients from the structural VAR model that was identified through heteroskedasticity in structural shocks. These methods enabled us to describe the linkages among the markets from different angles, to capture their time evolution and to obtain a notion about the transmission mechanism among these markets in Central Europe. The results, inter alia, indicate an intensifying interconnection among the markets during crisis periods, lowering impact of stock markets, increasing influence of bonds and a dominant role of German bonds and Austrian stocks. At the same time, we were able to capture the influence of the European sovereign debt crisis on the spillovers and on the intensity of linkages among the markets. We showed that the intensity of linkages among bond markets relented, probably as a result of higher emphasis on the...
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The effects of labour market institutions on unemployment in the EU
Hněvkovský, Jan ; Strielkowski, Wadim (advisor) ; Čech, František (referee)
The aim of this thesis is to examine the direct effects of labour market institu- tions on unemployment rates in the selected EU Members. For this purpose, we use macroeconomic cross-country, time series analysis for 21 OECD European members over the 2001-2011 period. The results gained from our empirical ana- lysis are rather inconclusive over the possibility to explain the development of European unemployment solely by analysing the effects of labour market insti- tutions. This finding might as well be caused by the volatile evolution of both output and unemployment over the observed period. The importance of busi- ness cycle is confirmed by our results as the measure for the output gap appears highly significant in every model specification. Unlike the majority of previous literature, in our estimates the proxies for macroeconomic shocks do not turn out to be significant. Hence, we decided not to examine mutual interactions between macroeconomic shocks and institutions. JEL Classifications: J08, J30, J51, J64 Keywords: unemployment, labour market institutions, EU, active labour mar- ket policies Author s e-mail: janhnevkovsky@gmail.com Supervisor s e-mail: strielkowski@fsv.cuni.cz 1
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Car demand modelling in the Czech Republic
Rückl, Adam ; Pertold-Gebicka, Barbara (advisor) ; Čech, František (referee)
The main purpose of this thesis is to construct a model of passenger cars demand and estimate it using data on new car registrations from the Czech Republic. The constructed model takes into account factors affecting not only the demand, but also the supply, as both of these variables form a simultaneous equations system. In order to estimate the model consistently, the econometric theory of simultaneous equations model is presented. At first the basic notations are introduced, the inconsistency of ordinary least squares estimates is proved and consistent methods of estimation are described, notably the two stage least squares and the indirect least squares methods. Observation of the data suggests that new passenger cars registrations in the Czech Republic were influenced by a specific taxation policy, which up to April 2009 did not allow the value added tax deduction in case of passenger cars. A large proportion of passenger cars were therefore registered as light utility vehicles. This fact has to be taken into account when studying the passenger cars demand. Results of the estimation by the two stage least squares method showed that the demand for new passenger in the Czech Republic is elastic in price and income. Significant sensitivity of the demand was observed also with respect to used cars...
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Dynamic Portfolio Optimization During Financial Crisis Using Daily Data and High-frequency Data
Čech, František ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on variance-covariance matrix modeling and forecasting. Majority of existing research evaluates covariance forecasts by statistical criteria. Our main contribution is economic comparison of parametric and non- parametric approaches of covariance matrix modeling. Parametric approach relies on RiskMetrics and Dynamic Conditional Correlation GARCH models that are applied on daily data. In the second approach, estimates of variance- covariance matrix are directly obtained from the high-frequency data by non- parametric techniques Realized Covariation and Multivariate Realized Kernels. These estimates are further modeled by Heterogeneous and Wishart Autoregression. Moreover, our contribution arises from the use of dataset that covers period of financial crisis. Portfolio of assets that is dynamically optimized consists of two highly liquid assets - Light Crude NYMEX and Gold COMEX, and of European asset represented by DAX index. Forecast evaluation results indicate better economic performance of models estimated on daily data. However, we found out that data synchronization procedure is the main driver of the results.
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Dynamická optimalizace portfolia ve finanční krizi za pomoci denních a vysokofrekvenčních dat
Čech, František ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on variance-covariance matrix modeling and forecasting. Majority of existing research evaluates covariance forecasts by statistical criteria. Our main contribution is economic comparison of parametric and non-parametric approaches of covariance matrix modeling. Parametric approach relies on RiskMetrics and Dynamic Conditional Correlation GARCH models that are applied on daily data. In the second approach, estimates of variance-covariance matrix are directly obtained from the high-frequency data by non-parametric techniques Realized Covariation and Multivariate Realized Kernels. These estimates are further modeled by Heterogeneous and Wishart Autoregression. Moreover, our contribution arises from the use of dataset that covers period of financial crisis. Portfolio of assets that is dynamically optimized consists of two highly liquid assets - Light Crude NYMEX and Gold COMEX, and of European asset represented by DAX index. Forecast evaluation results indicate better economic performance of models estimated on daily data. However, we found out that data synchronization procedure is the main driver of the results.
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The relationship between the lawyer and his client under the contract of mandate
Čech, František ; Horáček, Vít (referee) ; Patěk, Daniel (advisor)
Relationship between client and attorney-at-law according to mandate contract Resume This thesis examines the legal relationship between a client and an attorney-at-law who conclude a mandate contract. Its aim is to characterize the most important rights and obligations which arise in such a relationship in accordance with valid Czech legislation, judicial decisions and disciplinary practice of the Czech Bar Association. The thesis begins with a description of the special role of attorneys-at-law in the market of legal services among other professions that are involved in provision of these services. Then it focuses on the legal nature of a commercial mandate contract, its comparison with a civil mandate contract according to Czech law, and examines whether such differences in fact have any impact on the rights and obligations in the client and attorney-at-law relationship. After a short analysis of the possible legal causes of a creation of the legal relationship between a client and an attorney-at-law and I focus on the different rights and obligations which are the content of the relationship. I start with a description of the attorney's-at-law right for remuneration and the limits of this right, where I notice the different legal views towards a success fee. Then I explain the attorney's-at-law duty to...
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Analysis of publicly listed microfinance equity diversification potential and possible mission drift
Pfeffer, Karel ; Janda, Karel (advisor) ; Čech, František (referee)
MASTER THESIS Analysis of publicly listed microfinance equity diversification potential and possible mission drift Karel Pfeffer 2017 Abstract The objective of this master thesis is to investigate, whether equity of publicly listed Microfinance institutions (MFIs) can be used for portfolio diversification, while these MFIs still maintain its original social mission. To explore these two aspects of publicly listed MFIs, this study is split in two major parts. The first part is focused on the comparison of risk and return characteristics of selected MFIs shares with conventional financial institutions shares and market equity benchmark indices. The analysis indicates no significant diversification potential in publicly listed microfinance equity. The second part of this thesis is exploring the impact of IPO on publicly listed MFIs social outreach. It was found some evidence of a drift from the original social mission among selected MFIs. However, there is not enough evidence to claim that for-profit investment cause long-term significant operational change of MFIs.
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Finanční dopady plagiátorství
Čech, František
Bachelor thesis is focused on different perception of plagiarism among students and teachers and on financial impacts of plagiarism. Data used in this thesis are from EU research about plagiarism and in case of financial impacts data are from real word case. The results show that there is a huge difference between the perception of stu-dents and teachers and also among teachers and students themselves from dif-ferent countries. Financial impacts were apparent however they were not criti-cal to the university thanks to saving measures.
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The Physics Principles of Absorption Law for Radiographers
ČECH, František
Recently, there was not any suitable comprehensive educational text concerning physical bases of the absorption law which would be adequate to knowledge (physics, mathematics) and to skills of students of branch of radiology assistant and of related branches of study. For this reason, the bachelor thesis was written. The thesis set several partial goals which were successively achieved. Partial goals of the thesis are: 1. Selection of a theory of knowledge transfer to the level of branches of study stated above. 2. Creation of an educational text by a way which respects chosen theory. 3. Experimental verification of suitability of the educational text from the point of view of addressees. 4. Application of chosen statistical methods. On the basis of the analysis of the current state of the solved problem and setting partial aims the following hypotheses were stated: 1. Educational text for radiology assistants can be made by means of application of curricular process. 2. Knowledge of students acquired by means of the elaborated educational text will have a distribution close to normal distribution. As a convenient theory for knowledge transfer from science to educational sphere turned out to be theory of curricular process [1]. On the basis of the theory of the curricular process it was firstly important to analyse current scientific system of non-statistical quantum physics. The thesis deals with relationships between the absorption law and its three components especially in connection with absorption of x-rays and gamma radiation. In the area of conceptual curriculum the "Old quantum theory" became a solution. Sufficient physical base for the absorption law represents a thorough application of wave-particle duality. Mentioned physical pieces of knowledge were subsequently adjusted to the level of knowledge and skills of students for the area of intended and projected curriculum. Stated physical effects were derivated from initial conditions to formulas presented in scientific literature. Adjusted physical pieces of knowledge were subsequently transformed into a comprehensive educational text as a basic constituent of projected curriculum (see Annexe 1). By means of creation of the educational text the following hypothesis was proved: "Educational text for radiology assistants in the area of physical bases of the absorption law can be made by means of application of curricular process application". For verification of knowledge acquired by students an educational test was realised. The test had 23 question with one correct answer for every question (the test is presented in Annexe 2). Quantification of knowledge of students as a part of implemented curriculum-2 was made by means of statistical inquiry. Besides methods of descriptive statistics a method of assignment of theoretical distribution to empirical distribution was used. On the basis of assignment of theoretical distribution to empirical distribution it was determined that knowledge of students can be expressed by Gauss distribution. This confirmed not only adequacy of the created educational text but also the second hypothesis of the thesis. Benefits of the bachelor's thesis: Theoretical benefits of the thesis: 1. Application of curricular process in education of radiology assistants in the area of the physical bases of the absorption law. 2. Application of algorithm of statistics on verification of the hypotheses of the thesis. Practical benefits of the thesis: 1. The old quantum theory in the form of wave-particle duality of photon and electron are an adequate physical base for understanding the absorption law in the area of x-rays and gamma radiation. 2. Recommendation for improving physical preparation of radiology assistants on the basis of the analysis of particular test questions. 3. Educational text and test can be used in the education of radiological physics for the branch radiology assistant and also for related branches.
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