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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Modelling Conditional Quantiles of CEE Stock Market Returns
 Tóth, Daniel ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
Correctly specified models to forecast returns of indices are important for in- vestors to minimize risk on financial markets. This thesis focuses on conditional Value at Risk modeling, employing flexible quantile regression framework and hence avoiding the assumption on the return distribution. We apply semi- parametric linear quantile regression (LQR) models with realized variance and also models with positive and negative semivariance which allows for direct modelling of the quantiles. Four European stock price indices are taken into account: Czech PX, Hungarian BUX, German DAX and London FTSE 100. The objective is to investigate how the use of realized variance influence the VaR accuracy and the correlation between the Central & Eastern and Western European indices. The main contribution is application of the LQR models for modelling of conditional quantiles and comparison of the correlation between European indices with use of the realized measures. Our results show that linear quantile regression models on one-step-ahead forecast provide better fit and more accurate modelling than classical VaR model with assumption of nor- mally distributed returns. Therefore LQR models with realized variance can be used as accurate tool for investors. Moreover we show that diversification benefits are...
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Význam krize v Ukrajině z pohledu světové ekonomiky
 Pastushuk, Olha ; Bolotov, Ilya (advisor) ; Čajka, Radek (referee)
The diploma thesis analyses the economy of Ukraine and its importance from the world economy perspective. The work strives to investigate what key economic areas of influence Ukraine has and how development of Ukraine can impact other countries. At the beginning, this thesis analysis the history of the Ukrainian economy, all its struggles and successes. Subsequently, this work defines why and how the current situation in Ukraine is important to the world. Mainly, relationship with the European Union is considered. The thesis is concluded with an overview of economic predictions and scenarios of future development announced by international organizations.
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