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Non-linear models for financial time series and software tools for their analysis
Fučík, Jan ; Zichová, Jitka (advisor) ; Hendrych, Radek (referee)
This thesis deals with some time series models applicable in finance. First, the basic concepts are introduced and the linear AR models are presented. Afterwards, the reader becomes familiar with the nonlinear ARCH volatility models including their properties and the model-building. The generalized GARCH models are briefly mentioned. Another part of the thesis shows the usage of these models to real data in two available software products - R and Mathematica. The programs are compared from the point of the obtained results and the usability for the analysis of financial time series via the explained models. The description of the procedures and the attached CD with the outputs of the programs allow the reader to apply the models on his or her own data.
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The Lasso and its application to time series
Holý, Vladimír ; Prášková, Zuzana (advisor) ; Hendrych, Radek (referee)
This thesis first describes the Lasso method and its adaptive improvement. Then the basic theoretical properties are shown and different algorithms are introduced. The main part of this thesis is application of the Lasso method to AR, MA and ARCH time series and to REGAR, REGMA and REGARCH models. An algorithm of the adaptive Lasso in a more general time series model, which includes all above mentioned models and series, is developed. The properties of methods and algorithms are shown on simulations and on a practical example. Powered by TCPDF (www.tcpdf.org)
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Numerical study on simultanious equations
Šaroch, Vojtěch ; Lachout, Petr (advisor) ; Hendrych, Radek (referee)
Title: Numerical study on simultanious equations Author: Vojtěch Šaroch Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Petr Lachout, CSc. Abstract: In this thesis we deal with simultaneous equation model. In first chapter we introduce to theoretical aspect of this problem, especially estimation procedures and their properties. We mention issues of identification and an inconsistency of OLS-estimates for the simultaneous modeling. In second chapter we introduce theory of estimation, especially we will focus on interval estimation and precision. We mention empirical approach too. In the third chapter we perform a numerical study on simple macroeconomic model on generated dates. We are interested in properties interval estimations of parameters, the convergence rate, difference between empirical and theoretical extimation etc. Keywords: simultaneous equations model, interval estimation, empirical estimation 1
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Tests for time series linearity
Melicherčík, Martin ; Prášková, Zuzana (advisor) ; Hendrych, Radek (referee)
Title: Testing for linearity in time series Author: Martin Melicherčík Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Zuzana Prášková, CSc., Department of Probability and Mathematical Statistics Abstract: In the first part of the thesis, a necessary theoretical base from time series analysis is explained, which is consequently used to formulate several tests for linearity. According to variety of approaches the theory includes wide range of knowledge from correlation and spectral analysis and introduces some basic nonlinear models. In the second part, linearity tests are described, classified and compared both theoretically and practically on simulated data from several linear and nonlinear models. At the end, some scripts and hints in R language are introduced that could be used when applying tests to real data. Keywords: linear time series, bispectrum, testing for linearity, nonlinear models
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Principal components analysis and its applications
Dubová, Mária ; Hendrych, Radek (advisor) ; Prášková, Zuzana (referee)
In the present thesis, we deal with the principal components analy- sis. In the first of this text, we study different aspects of principals components, for instance, their derivation for a multidimensional random vector from general distribution or their calculation based on a covariance or correlation matrix. It is also important to choose the proper number of principal components for reducing the dimensionality of data in order to preserve most of information. Theoretical knowledge are illustrated with several examples. In the second part of the thesis, we focus on the value at risk. This term is defined in the text also with seve- ral usual formulas to calculate it. Then, we deal with a practical application of this concept and the principal component analysis. Concretely, we analyse the portfolio of some different interest rates to obtain the value at risk in some cases. 1
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Analysis of extreme values
Vyhlídka, Jan ; Hendrych, Radek (advisor) ; Antoch, Jaromír (referee)
The goal of this thesis is to introduce basic concepts of the extreme value theory. The first chapter describes two fundamentally different approaches - block maxima and peaks over threshold models. Furthermore, it presents generalized extreme value distribution and generalized Pareto distribution. Moreover, relevant theorems and characteristics that are tied to these probabilistic distributions are discussed. The second chapter is a survey of various methods of parameter estimation of discussed distributions. The last chapter shows a simple application of how extreme value theory can be applied in finance on selected shares listed on the Prague Stock Exchange.
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Belgian Federalism in the Light of the Requirements of the Flemish Movement
Hendrych, Radek ; Kasáková, Zuzana (advisor) ; Kubát, Michal (referee)
The present work deals with an analysis of a political and constitutional organization of the federal Kingdom of Belgium from the Flemish point of view. Firstly, this text focuses on developments, trends and selected determinants of the historical position of the Flemish community in the framework of the Belgian state. It is mainly devoted to capture and identify several relevant requirements of the Flemish movement which have risen of the language and cultural context of the Belgian reality. Gradually, their economical and political plane has been found. Furthermore, the work looks closer to the dynamic process of the institutional transformation of the original unitary political system resulting in the federal arrangement. The attention is paid to the decentralization (devolutionary) constitutional reforms starting in the seventies of the twentieth century which were definitely completed by the federalization of the country in 1993 and subsequent revisions. The text also analyzes the character of the institutional environment and the various positions of (language) groups within it. Finally, this contribution introduces two areas of specific problems which are viewed negatively from the Flemish point of view and for this reason Flemings loudly ask for reviews, i. e. the question of the capital...
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Econometric systems of simultaneous equations in life insurance
Hendrych, Radek ; Prášková, Zuzana (referee) ; Cipra, Tomáš (advisor)
In present work we deal with theoretical and practical issues related to econometric systems of (linear) simultaneous equations. In the first chapter we introduce to theoretical aspects of this problem. We devote considerable space to estimation procedures and comparisons of their properties, mention questions of identification, an inconsistency of OLS-estimates for the simultaneous modeling, tests of hypotheses specific to this area, dynamic systems and constructions of forecasts in models. In the second chapter we introduce selected basic concepts relevant to life insurance. In the third chapter we show the practical application of theoretical knowledge in the event of an econometric model of financial flows in the life insurance company operating on the Czech market. We compare ordinary estimation procedures (2SLS and 3SLS approach), perform some tests, which serve us to verify selected information on the studied model. We show the possibility of using residual bootstrap, including examples of use in the construction of confidence intervals. Finally we analyze several predictions of the estimated model of the life insurance company for predetermined scenarios for the development of selected variables, which is very important from practical point of view.
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Creating and verifying the intervention program focused on physical activities in the water for older school age children
HENDRYCH, Radek
The bachelor's thesis is concentrated for a creation and verification of an intervention program focused on physical activity in the water for older school children. The theoretical part describes the different physical activities in the water and their impact on physical and mental condition. The practical part of the intervention program was launched by initial testing probands, divided into an experimental group of 15 children and a control group of 15 children. Then twelve-week intervention program focused on physical activity in the water followed. During the intervention program was held control testing. At the end of the intervention program was conducted the final testing. Results obtained by testing were the basis for the development of graphic part illustrating the improvement in the mastery of basic swimming strokes and effect of water exercises to mental state.
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