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Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
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Získávání skrytých znalostí z online dat souvisejících s vysokými školami
Hlaváč, Jakub
Social networks are a popular form of communication. They are also used by universities in order to simplify information providing and addressing candidates for study. Foreign study stays are also a popular form of education. Students, however, encounter a number of obstacles. The results of this work can help universities make their social network communication more efficient and better support foreign studies. In this work, the data from Facebook related to Czech universities and the Erasmus program questionnaire data were analyzed in order to find useful knowledge. The main emphasis was on textual content of communication. The statistical and machine learning methods, including mostly feature selection, topic modeling and clustering were used. The results reveal interesting and popular topics discussed on Czech universities social networks. The main problems of students related to their foreign studies were identified too and some of them were compared for countries and universities.
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Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
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Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
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Bayesian variable selection
Jančařík, Joel ; Komárek, Arnošt (advisor) ; Hlávka, Zdeněk (referee)
The selection of variables problem is ussual problem of statistical analysis. Solving this problem via Bayesian statistic become popular in 1990s. We re- view classical methods for bayesian variable selection methods and set a common framework for them. Indicator model selection methods and adaptive shrinkage methods for normal linear model are covered. Main benefit of this work is incorporating Bayesian theory and Markov Chain Monte Carlo theory (MCMC). All derivations needed for MCMC algorithms is provided. Afterward the methods are apllied on simulated and real data. 1
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Econometric analysis of the prices of mobile phones
Nešpor, Radim ; Formánek, Tomáš (advisor) ; Polonyankina, Tatiana (referee)
The work deals with the econometric analysis of the prices of mobile phones based on the selected parameters. The aim of this thesis is to determine, which of the selected parameters affect the price of a new mobile phone and how they affects the price. The theoretical part deals at first with the regression model and determining statistically significant variables and significance of the model as a whole. Then I introduce different procedures for finding and selecting the best estimate for the model. In this thesis I will focus on three procedures for the selection of explanatory variables: best subset selection, forward stepwise selection and backward stepwise selection. Finally I mention the detection of multicollinearity and heteroscedasticity testing. In the second part, I apply different procedures for the selection of explanatory variables and afterwards, based on the criteria defined in the first part, I will select the best model. Finally, I compare these models and choose the best one.
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Use of regression for analysis of attendance of individual teams from NHL
Turek, Tomáš ; Řezanková, Hana (advisor) ; Vrabec, Michal (referee)
This bachelor thesis focuses on an analysis of regression which is concerned with the average of the spectator attendance in home games of individual teams from National Hockey League in the 2014/2015 season. The aim of this thesis is to consider the selected factors which might have an influence over the increase and the decline of attendance and the comparison to the results of selected regression methods at the selection of the variables to the regression model. The main benefit of this bachelor thesis is in the practical application of the analysis of regression including the selection of the best set of the independent variables with the utilization of various regression methods. A part of thesis is also a factual interpretation of the obtained results. For the selection of independent variables was used the stepwise method, forward and backward method.
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