Modely rizikovosti finančních aktiv a jejích determinant – Bc. Simona Tarabová
Bc. Simona Tarabová
Master's thesis
Modely rizikovosti finančních aktiv a jejích determinant
Models of financial assets risk and its determinants
Abstract:
In this thesis we study volatility models and their application to time series of capital markets and macroeconomic factors of Czech Republic, Canada, Germany, USA and UK. In first chapters we deal with theory of stochastic discount factor models, that are often associated with the estimation of riskiness of assets, and definition of volatility itself. In the other half of the thesis, we apply a three …moreAbstract:
V tejto diplomovej práci sa zaoberáme modelmi volatility a ich aplikáciou na časové rady kapitálových trhov a makroekonomických faktorov Českej republiky, Kanady, Nemecka, USA a Veľkej Británie. V prvých kapitolách sa venujeme teórii stochastických diskontných faktorových modelov, ktoré sú často spojené s odhadmi rizikovosti aktív, a definícii volatility ako takej. V druhej polovici práce aplikujeme …moreKeywords
Stochastické diskontné faktorové modely CAPM CCAPM volatilita lineárne modely volatility nelineárne modely volatility autoregresná podmienená heteroskedasticita viacrozmerné GARCH modely BEKK model Stochastic discount factor models volatility linear volatility models non linear volatility models autoregressive conditional heteroskedasticity multivariate GARCH models BEKK mode
Language used: Slovak
Date on which the thesis was submitted / produced: 12. 5. 2014
Identifier:
https://is.muni.cz/th/i7nol/
Thesis defence
- Date of defence: 20. 6. 2014
- Supervisor: Ing. Daniel Němec, Ph.D.
- Reader: Ing. Vratislav Pisca
Citation record
Full text of thesis
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Institution archiving the thesis and making it accessible: Masarykova univerzita, Přírodovědecká fakultaMasaryk University
Faculty of ScienceMaster programme / field:
Mathematics / Finance Mathematics