|
|
Analysis of Term Structures in High Frequencies
Nedvěd, Adam ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
This thesis represents an in-depth empirical study of the dependence structures within the term structure of interest rates. Firstly, a comprehensive overview of term structure modelling literature and methods is provided together with a summary of theoretical notions regarding the use of high-frequency data and spectral analysis. Contrary to most studies, the frequency-domain approach is employed, with a special focus on dependency across various quantiles of the joint distribution of the term structure. The main results are obtained using the quantile cross-spectral analysis, a new robust and non-parametric method allowing to uncover dependence structures in quantiles of the joint distribution of multivariate time series. The results are estimated using a dataset consisting of 15 years worth of high-frequency tick-by-tick time series of US Treasury futures. Complex dependence structures are revealed showing signs of both cyclicity and dependence in various parts of the joint distribution of the term structure in the frequency domain. JEL Classification C49, C55, C58, E43, G12, G13 Keywords term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, inter- est rate futures Author's e-mail adam.nedved@fsv.cuni.cz Supervisor's e-mail barunik@fsv.cuni.cz
|
|
|
Bid Protests in Public Procurement: Czech Case
Nedvěd, Adam ; Skuhrovec, Jiří (advisor) ; Soudek, Jan (referee)
Bid protest mechanisms provide supervision over public procurement processes. If set up properly, these mechanisms improve both ex-ante and ex-post e - ciency of public procurement. However, decentralisation of the oversight can create opportunities for bidders to strategically abuse the system at the soci- ety's expense. In order to assess e ciency of the Czech bid protest mechanism, an empirical policy analysis of was conducted using a unique combined dataset of all bid protest rulings of the Czech supervising authority linked to a com- plete dataset of public contracts procured between 2007 and 2014. Econometric methods for panel data analysis were employed in order to estimate e↵ects of bid protesting on returns in form of awarded contracts. The selected approach made it possible to focus on individual relationships between contracting au- thorities and their suppliers. The results show significant di↵erences between returns of protest against EU co-funded and EU unfunded contracts. Moreover signs of strategical system abuse related to public works contracts were found.
|
|
|
Analysis of Term Structures in High Frequencies
Nedvěd, Adam ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
This thesis represents an in-depth empirical study of the dependence structures within the term structure of interest rates. Firstly, a comprehensive overview of term structure modelling literature and methods is provided together with a summary of theoretical notions regarding the use of high-frequency data and spectral analysis. Contrary to most studies, the frequency-domain approach is employed, with a special focus on dependency across various quantiles of the joint distribution of the term structure. The main results are obtained using the quantile cross-spectral analysis, a new robust and non-parametric method allowing to uncover dependence structures in quantiles of the joint distribution of multivariate time series. The results are estimated using a dataset consisting of 15 years worth of high-frequency tick-by-tick time series of US Treasury futures. Complex dependence structures are revealed showing signs of both cyclicity and dependence in various parts of the joint distribution of the term structure in the frequency domain. JEL Classification C49, C55, C58, E43, G12, G13 Keywords term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, inter- est rate futures Author's e-mail adam.nedved@fsv.cuni.cz Supervisor's e-mail barunik@fsv.cuni.cz
|
|
|
Bid Protests in Public Procurement: Czech Case
Nedvěd, Adam ; Skuhrovec, Jiří (advisor) ; Soudek, Jan (referee)
Bid protest mechanisms provide supervision over public procurement processes. If set up properly, these mechanisms improve both ex-ante and ex-post e - ciency of public procurement. However, decentralisation of the oversight can create opportunities for bidders to strategically abuse the system at the soci- ety's expense. In order to assess e ciency of the Czech bid protest mechanism, an empirical policy analysis of was conducted using a unique combined dataset of all bid protest rulings of the Czech supervising authority linked to a com- plete dataset of public contracts procured between 2007 and 2014. Econometric methods for panel data analysis were employed in order to estimate e↵ects of bid protesting on returns in form of awarded contracts. The selected approach made it possible to focus on individual relationships between contracting au- thorities and their suppliers. The results show significant di↵erences between returns of protest against EU co-funded and EU unfunded contracts. Moreover signs of strategical system abuse related to public works contracts were found.
|
guest ::
