National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Geopolitical risk and financial markets: trends, co-movements and effects
Jarina, Vesna ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
This thesis explores the impact of geopolitical risk on cross-market co-movements in both global stock markets and regional foreign exchange markets over the period of 1995-2023. Employing two novel approaches, namely the return co- exceedances within the quantile regression framework and the GDCCX-GARCH model, our findings reveal that geopolitical risk has a tendency to weaken ex- treme return co-exceedances and dynamic conditional correlations within these markets, although there are few exceptions from this behaviour. Additionally, we emphasize the significance of considering geopolitical risk when building portfolio strategies by providing evidence for gold's hedging and safe haven properties, the resilience of clean energy investments, and the rise in crude oil prices in response to heightened geopolitical risk.
Modeling categorical time series
Jarina, Vesna ; Zichová, Jitka (advisor) ; Hudecová, Šárka (referee)
This bachelor thesis is primary focused on introducing models for categorical time series of nominal and ordinal type, based on the theory of generalized linear models (GLM). The theoretical part also deals with the problem of parameter estimation using the partial likelihood method. Finally, the practical part intro- duces an application of both models on simulated data and investigates the rate of convergence of the maximum partial likelihood estimators (MPLE). 1

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