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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
The dynamics of the energy sector beta coefficient
 Šimečková, Martina ; Frýd, Lukáš (advisor) ; Jindra, Marek (referee)
This bachelor thesis investigates the presence of asymmetric reactions in systemic risk and its development over time. The estimation is done utilising three DCC family models and the OLS model. The asymmetric reactions were found to be significant in both, the volatility of energy companies based portfolio returns and the correlation between this portfolio and a market portfolio. Due to the statistical significance of all resulting parameters of each model, we have also succeeded in confirming that energy sector's beta is time varying. By testing the estimation of each beta coefficient alone, we have come to the conclusion that a statistically significant difference arises only when utilising an asymmetric volatility model.
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Modely dynamické podmíněné korelace a jejich aplikace při mitigaci rizika portfolia
 Ševčík, Martin ; Frýd, Lukáš (advisor) ; Nevrla, Matěj (referee)
This bachelor thesis investigates asymmetry in returns of corn, gold and crude oil (both spot and futures) and hedging effectiveness of these commodities when employing DCC family models for hedge ratio estimation. The asymmetry in conditional variances was found to be significant only in case of crude oil spot and futures returns and asymmetry in conditional correlation of spot and futures returns was not shown to be significant in neither of the investigated commodities. With respect to the hedging performance, we conclude that differences in hedging performance measured by hedging effectiveness index are negligible and thus do not support superiority of DCC family models over OLS, which served as a benchmark. Historical Value at Risk, on the contrary, identified the DCC with asymmetry in conditional variance (despite asymmetry not being significant) to be appropriate for corn hedging, however not for the other two commodities, where the OLS based hedge ratio performed similarly or even better than the DCC family models. The main contribution of the thesis thus lays in empirical investigation of asymmetry in returns of selected commodities and testing hedging potential of DCC family based hedge ratio.
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