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Tests of significance of ARMA models parameters based on Bayesian approach
Onderko, Martin ; Krtek, Jiří (advisor) ; Prášková, Zuzana (referee)
This thesis is focused on Bayesian analysis and its use in probability and statistics. It also marginally discusses random processes, furtherly describes ARMA model and defines the issue of estimation of the parameters of Bayesian approach. Acquired knowledge and derived characteristics subsequently applies in testing of significance of parameters. Thus it undoubtably affects the area of hypothesis testing and serves mainly as a tool to determine the ARMA model more accurately. This work should be regulary applied when detecting the necessity of testing of statistical significance of parameters of ARMA model.
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Daylight Saving Time and Stock Market Returns: Evidence from the Visegrad Group
Kúdeľa, Peter ; Havránková, Zuzana (advisor) ; Novák, Jiří (referee)
Do investors make bad decisions following the clock change? If so, there would be traces of such anomaly in market data. In this thesis, we investigate these traces focusing on the stock markets of the Visegrad Group, known to be pre- vailingly illiquid. We combine the most recent financial data with the ARIMA- GARCH framework while employing brand-new Bayesian techniques. Using several robustness checks, we show that such e ect cannot be traced in these markets. While we do not claim to challenge the seminal works in this field, we do support the evidence that the e ects of daylight saving policy do not pertain to less liquid markets. JEL Classification C11, G12, G14, G41 Keywords daylight saving time, market anomaly, Visegrad Group, Bayesian analysis Title Daylight Saving Time and Stock Market Re- turns: Evidence from the Visegrad Group
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System Priors for Econometric Time Series
Andrle, Michal ; Plašil, Miroslav
This paper introduces “system priors” into Bayesian analysis of econometric time series and provides a simple and illustrative application. Unlike priors on individual parameters, system priors offer a simple and efficient way of formulating well-defined and economically meaningful priors about model properties that determine the overall behavior of the model. The generality of system priors is illustrated using an AR(2) process with a prior that its dynamics comes mostly from business-cycle frequencies.
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Tests of significance of ARMA models parameters based on Bayesian approach
Onderko, Martin ; Krtek, Jiří (advisor) ; Prášková, Zuzana (referee)
This thesis is focused on Bayesian analysis and its use in probability and statistics. It also marginally discusses random processes, furtherly describes ARMA model and defines the issue of estimation of the parameters of Bayesian approach. Acquired knowledge and derived characteristics subsequently applies in testing of significance of parameters. Thus it undoubtably affects the area of hypothesis testing and serves mainly as a tool to determine the ARMA model more accurately. This work should be regulary applied when detecting the necessity of testing of statistical significance of parameters of ARMA model.
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Spam, abuse of email and options of protecion
Daněk, Tomáš ; Luc, Ladislav (advisor) ; Petera, Martin (referee)
The thesis deals with unsolicited mail known as spam. Its main goal is to present the most widely used current methods of protection against spam and their practical application to achieve the highest possible efficiency. This study aims to find the optimal combination of protection for regular electronic mailbox. In the first part is discussed the history, reasons for the emergence and expansion of mass spam. Furthermore are introduced different types of spam, which differ with their purpose and also their dangerousness. At the end of the first part are presented global statistics for the year 2009, along with estimated total annual cost devoted to fighting spam. Mentioned are the current trends and possible future development of spam. In the second part are presented in detail various widely used methods of protection which vary in principles of operation. Their common goal is reducing the number of spam messages received to the minimum. Also their advantages, disadvantages and pitfalls of their use are analyzed. At the end of the thesis is presented a practical application of those mentioned protections in a particular case. The main contribution of the work should be limitation of received spam to a minimum and reduction of the risks associated with it based on knowledge of techniques and practices used by spammers.
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