Časové řady a stochastická volatilita ve financích

• Thesis title in Czech: Časové řady a stochastická volatilita ve financích
• Thesis title in English: Time series and stochastic volatility in finance
• Key words: volatilita, maximálně věrohodný odhad, ARCH, GARCH
• English key words: volatility, maximum-likelihood estimation, ARCH, GARCH
• Academic year of topic announcement: 2010/2011
• Thesis type: Bachelor's thesis
• Thesis language: čeština
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Jan Hurt, CSc.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 02.11.2010
• Date of assignment: 02.11.2010
• Date and time of defence: 28.06.2011 00:00
• Date of electronic submission: 26.05.2011
• Date of submission of printed version: 27.05.2011
• Date of proceeded defence: 28.06.2011
• Opponents: RNDr. Jitka Zichová, Dr.

Guidelines

Student zpracuje kapitolu 12 z [44]. Pojedná o metodách odhadu. Pro ilustraci použije simulovaná a reálná data. Využije systém Mathematica.

References

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[44] Franke, J., Haerdle, W., Hafner, Ch. M. (2004): Statistics of Financial Markets. Springer, Berlin.

Preliminary scope of work

Časové řady ve financích

Preliminary scope of work in English

Time series in finance