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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Stability in Autoregressive Time Series Models
 Dvořák, Marek ; Prášková, Zuzana (advisor) ; Hušková, Marie (referee) ; Picek, Jan (referee)
The main subject of this thesis is a change point detection in stationary vector autoregressions. Various test statistics are proposed for the retrospective break point detection in the parameters of such models, in particular, the derivation of their asymptotic distribution under the null hypothesis of no change. Testing procedures are based on the maximum like- lihood principle and are derived under normality, nevertheless the asymptotic results are valid for broader class of distributions and involve also the models with certain form of dependence. Simulation studies document the quality of the results.
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Price of Volatility of Financials Assets
 Gříšek, Lukáš ; Černý, Michal (advisor) ; Chrobok, Viktor (referee)
This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simulated datas and real world driven datas. Simulation helped to discover signi cant characteristics of change-point test, those data were simulated with using stochastic calculus. Google share prices and prices of call options were chosen to analyse impact of volatility change on those prices. Also implied volatility and its impact to call option price was analysed.
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