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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.
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Analysis of dynamics of beta coefficient in the CAPM model using models of asymmetric volatility and correlation
 Staňková, Tereza ; Frýd, Lukáš (advisor) ; Jiránek, Petr (referee)
The aim of this thesis is to estimate the dynamic development of the beta coefficient for the pharmaceutical industry and agriculture to test the influence of asymmetry in volatility and correlation on the estimation of this coefficient. OLS rolling window, Dynamic Conditional Correlation by Engle (2002) and its asymmetric version by Cappiello, Engle and Sheppard (2006) were used to demonstrate the dynamic development of the beta coefficient. In the case of agriculture, the asymmetry in scattering and correlation had a statistically significant impact on the beta coefficient estimate. In the case of the pharmaceutical industry, the beta coefficients of these models differed only in shorter periods of high volatility. In addition, the ability to predict beta during crisis was better for these models than for the beta published by Damodaran.
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