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The evolution of Prague real estate market after 1989
Skala, Maximilian ; Gavlas, Ivo (referee) ; Krištoufek, Ladislav (advisor)
This thesis describes on one hand the evolution of the real estate market in The Czech Republic and more speci cally in Prague after the Velvet revolution in 1989 - the creation of new institutional and legislative environment. On the other hand this thesis focuses on the data of the rst decade of the 21st century to try and detect the symptoms that should have alarmed the soci- ety, banks and investors of the upcoming burst of the bubble as a consequence of the global nancial crisis in 2008. Finally we are going to setup a simple econometric model which would partly describe the in uence of some factors on the price of real estate.
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Efficiency of public spending
Lebovič, Michal ; Krištoufek, Ladislav (referee) ; Zápal, Jan (advisor)
This thesis aims to offer a comprehensive introduction into the topic of efficiency measurement in the public sector. Firstly, usual definitions and concepts of efficiency are introduced. Attention is then turned to the description of various factors and problems specific for public sector that are crucial to efficiency measurement. It is shown that these factors preclude the use of general (private sector) efficiency measurement methods or demand their modification. The most common methods of analysis are then introduced and their relative advantages and disadvantages in the environment of public sector are explained. Finally the thesis outlines the possible uses and benefits of efficiency measurement, including the use in the economic policy-making, but also points out the limits inherent to this analysis in the current stage of development.
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Multifractal nature of financial markets and its relationship to market efficiency
Jeřábek, Jakub ; Vošvrda, Miloslav (advisor) ; Krištoufek, Ladislav (referee)
The thesis shows the relationship between the persistence in the financial markets returns and their efficiency. It interprets the efficient markets hypothesis and provides various time series models for the analysis of financial markets. The concept of long memory is broadly presented and two main types of methods to estimate long memory are analysed - time domain and frequency domain methods. A Monte Carlo study is used to compare the methods and selected estimators are then used on real world data - exchange rate and stock market series. There is no evidence of long memory in the returns but the stock market volatilities show clear signs of persistence.
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Causal relationship between Uncertainty and Crude Oil Prices: A Quantile Regression approach
Ruiz Vargas, Andrés Mauricio ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
This work considers the causal relationship between the news-based uncertainty measures and WTI crude oil price within the quantile causality framework by using daily data for a period from January 4, 2000, to November 14, 2016. We find that the Granger non-causality test in quantiles between crude oil returns and the news-based uncertainty measures uncover the causal relationship over different levels of conditional quantiles of the crude oil returns. In particular, there exists a strong causal relationship in the tails of the crude oil returns distribution. Powered by TCPDF (www.tcpdf.org)
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Multifractal Height Cross-Correlation Analysis
Krištoufek, Ladislav
We introduce a new method for detection of long-range cross- correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). MF-HXA is a multivariate generalization of the height- height correlation analysis. We show that long-range cross-correlations can be caused by a mixture of the following – long-range dependence of separate processes and additional scaling of covariances between the processes. Simi- lar separation applies for cross-multifractality – standard separation between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. We further apply the method on returns and volatility of NASDAQ and S&P500 indices as well as of Crude and Heating Oil futures and uncover some interesting results.
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Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav
In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
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Multifractal height cross-correlation analysis
Krištoufek, Ladislav
We introduce a new method for detection of long-range cross-correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). We show that long-range cross-correlations can be caused by long-range dependence of separate processes and the correlations above them. Similar separation applies for cross-multifractality – standard sep- aration between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. Efficiency of the method is showed on two types of simulated series – ARFIMA and Mandelbrot’s Binomial Multifractal model. We further ap- ply the method on returns and volatility of NASDAQ and S&P500 indices and uncover some interesting results.
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