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Analysis of Term Structures in High Frequencies
Nedvěd, Adam ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
This thesis represents an in-depth empirical study of the dependence structures within the term structure of interest rates. Firstly, a comprehensive overview of term structure modelling literature and methods is provided together with a summary of theoretical notions regarding the use of high-frequency data and spectral analysis. Contrary to most studies, the frequency-domain approach is employed, with a special focus on dependency across various quantiles of the joint distribution of the term structure. The main results are obtained using the quantile cross-spectral analysis, a new robust and non-parametric method allowing to uncover dependence structures in quantiles of the joint distribution of multivariate time series. The results are estimated using a dataset consisting of 15 years worth of high-frequency tick-by-tick time series of US Treasury futures. Complex dependence structures are revealed showing signs of both cyclicity and dependence in various parts of the joint distribution of the term structure in the frequency domain. JEL Classification C49, C55, C58, E43, G12, G13 Keywords term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, inter- est rate futures Author's e-mail adam.nedved@fsv.cuni.cz Supervisor's e-mail barunik@fsv.cuni.cz
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Yield Curves
Korbel, Michal ; Hurt, Jan (advisor) ; Hlávka, Zdeněk (referee)
The master thesis is looking into the estimation of yield curve using two ap- proaches. The first one is searching for parametric model which is able to describe the behavior of yield curve well and estimate its parameters. The parametric mo- dels used in the thesis are derived from the class of models introduced by Nelson and Siegel. The second approach is nonparametric estimation of yield curves using spline smoothing and kernel smoothing. All used methods are then compared on real observed data and their suitability for various tasks and concrete available observations is considered. 1
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Analysis of Term Structures in High Frequencies
Nedvěd, Adam ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
This thesis represents an in-depth empirical study of the dependence structures within the term structure of interest rates. Firstly, a comprehensive overview of term structure modelling literature and methods is provided together with a summary of theoretical notions regarding the use of high-frequency data and spectral analysis. Contrary to most studies, the frequency-domain approach is employed, with a special focus on dependency across various quantiles of the joint distribution of the term structure. The main results are obtained using the quantile cross-spectral analysis, a new robust and non-parametric method allowing to uncover dependence structures in quantiles of the joint distribution of multivariate time series. The results are estimated using a dataset consisting of 15 years worth of high-frequency tick-by-tick time series of US Treasury futures. Complex dependence structures are revealed showing signs of both cyclicity and dependence in various parts of the joint distribution of the term structure in the frequency domain. JEL Classification C49, C55, C58, E43, G12, G13 Keywords term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, inter- est rate futures Author's e-mail adam.nedved@fsv.cuni.cz Supervisor's e-mail barunik@fsv.cuni.cz
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Bond valuation theory
Krchňavý, Martin ; Čech, Tomáš (advisor) ; Pracný, Jakub (referee)
The bachelor thesis discusses the theory of bond valuation with a focus on traditional coupon and zero-coupon bonds without embedded options. Introduction specifies author's objectives and methods, which are used to fulfil these objectives. Theoretical part explains the concept of bond and analyses its individual attributes, such as price, yield and risk. The part with the practical application of the theory contains the description of data obtained from Thomson Reuters Eikon trading platform followed by the demonstration of yield and risk measurements and the valuation of my exemplary bond, which is Czech sovereign bond with a fixed coupon rate issued in the national currency. Conclusion evaluates the achievement of objectives and the potential utilization of results in praxis.
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Duration in portfolio management
Kulhánek, Zdeněk ; Radová, Jarmila (advisor) ; Stádník, Bohumil (referee)
The aim of thesis is to analyze the duration and its application in portfolio management. The work is divided into three logical parts. The intoductory part deal with issues of yield curves and in the following chapters we will build on this knowledge. In the mainstay of thesis we concentrate primarily on duration and its various modifications. The last section is devoted to portfolio management with emphasis on the bond portfolio. All theoretical knowledge is then applied to practical examples, which should lead to a better understanding of the topic.
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