Bc. Světlana Fiodorová
Master's thesis
Propojenost komoditních trhů
Commodity markets connectedness
Abstract:
Cílem této práce je na základě kvantitativní analýzy posoudit propojenost světových komoditních trhů v čase a v důsledku vybraných událostí. Implementovali jsme metodologii Diebolda a spol. (2017), která je založena na vysokodimenzionálních VAR modelech a měření propojenosti pomocí algoritmu elastické sítě. Abychom dosáhli přesnějších výsledků, upravili jsme výpočet Garman-Klassovy volatility o tzv …moreAbstract:
This thesis aims to assess the connectedness of global commodity markets throughout time and selected events based on quantitative analysis. We employed the methodology of Diebold et al. (2017), built on high-dimensional VARs and connectedness measures by implementing an elastic-net algorithm. To obtain more precise results, we adjusted the Garman-Klass volatility by incorporating the jump component …more
Language used: English
Date on which the thesis was submitted / produced: 13. 5. 2024
Identifier:
https://is.muni.cz/th/xn8xd/
Thesis defence
- Date of defence: 18. 6. 2024
- Supervisor: Ph.D. Oleg Deev
- Reader: Ph.D. Axel Alejandro Araneda Barahona
Citation record
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- světu
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakultaMasaryk University
Faculty of Economics and AdministrationMaster programme / field:
Finance / Financial Markets, Institutions and Technologies
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