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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Special problems of non-stationarity in financial time series
 Radič, Pavol ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
The aim of this thesis is a detailed analysis of selected approaches of unit root testing. First chapter deals with the basic knowledge of the theory of stochastic processes. Further, we describe Dickey-Fuller tests, t-tests and likelihood ratio tests for the presence of a unit root and derive their asymptotic properties. Numerical studies include comparison of accuracy of the parameter estimates, estimating quantiles of the presented distributions, their graphical presentation and determination of power of our tests. The acquired theoretical knowledge is applied on real data which were analyzed using software Mathematica and R. Powered by TCPDF (www.tcpdf.org)
Detailed record
Special problems of non-stationarity in financial time series
 Radič, Pavol ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
The aim of this thesis is a detailed analysis of selected approaches of unit root testing. First chapter deals with the basic knowledge of the theory of stochastic processes. Further, we describe Dickey-Fuller tests, t-tests and likelihood ratio tests for the presence of a unit root and derive their asymptotic properties. Numerical studies include comparison of accuracy of the parameter estimates, estimating quantiles of the presented distributions, their graphical presentation and determination of power of our tests. The acquired theoretical knowledge is applied on real data which were analyzed using software Mathematica and R. Powered by TCPDF (www.tcpdf.org)
Detailed record

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