Modely pre finančné časové rady a ich softvérová implementácia
| Thesis title in thesis language (Slovak): | Modely pre finančné časové rady a ich softvérová implementácia |
|---|---|
| Thesis title in Czech: | Modely pro finanční časové řady a jejich softwarová implementace |
| Thesis title in English: | Financial time series models and their software implementation |
| Key words: | finančné časové rady|volatilita|ARCH|GARCH|EGARCH |
| English key words: | financial time series|volatility|ARCH|GARCH|EGARCH |
| Academic year of topic announcement: | 2020/2021 |
| Thesis type: | diploma thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Jitka Zichová, Dr. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 27.10.2020 |
| Date of assignment: | 09.11.2020 |
| Confirmed by Study dept. on: | 22.02.2021 |
| Date and time of defence: | 05.09.2023 09:40 |
| Date of electronic submission: | 20.07.2023 |
| Date of submission of printed version: | 24.07.2023 |
| Date of proceeded defence: | 05.09.2023 |
| Opponents: | doc. RNDr. Šárka Hudecová, Ph.D. |
| Guidelines |
| Cílem práce je sepsat přehled modelů časových řad používaných ve finanční analýze a popsat jejich základní vlastnosti.
Dále se zaměřit na implementace modelů ve vybraných softwarových produktech a vypracovat návody pro práci se softwarem a ilustrační příklady na simulovaných nebo reálných datech. |
| References |
| Fan, J., Yao, Q.: Nonlinear Time Series. Springer, New York, 2003.
Tong, H.: Non-linear Time Series. A Dynamical System Approach. Clarendon Press, Oxford, 1990. Tsay, R. S.: Analysis of Financial Time Series. Wiley, New York, 1990. Baillie, R.T., Bollerslev, T., Mikkelsen, H.O.: Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 74(1996), 3-30. Bollerslev, T.: Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31(1986), 307-327. Davidson, J.: Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model. Journal of Business and Economic Statistics 22(2004), 16-29. Nelson, D.: Conditional Heteroscedasticity in Asset Returns: A New Approach. Econometrica 59(1991), 347-370. Rossi, E.: Lecture Notes on GARCH Models. University of Pavia, 2004. |