Diagnostické nástroje pro analýzu časových řad

• Thesis title in Czech: Diagnostické nástroje pro analýzu časových řad
• Thesis title in English: Diagnostic tools for time series analysis
• Academic year of topic announcement: 2023/2024
• Thesis type: dissertation
• Thesis language: čeština
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: RNDr. Šárka Hudecová, Ph.D.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 25.01.2024
• Date of assignment: 25.01.2024
• Confirmed by Study dept. on: 04.03.2024

Guidelines

The research will be devoted to the analysis of financial time series with the focus on diagnostic tools for various special models (goodness of fit testing, structural breaks detection).

References

[1.] Brockwell, P.J. and Davis, R. A. (2006): Time Series: Theory and Methods. 2nd edition.
[2.] Hautsch, N. (2012): Econometrics of Financial High-Frequency Data. Springer.
[3.] Francq, C. and Zakoian, J. M. (2010): GARCH Models. Structure, Statistical Inference and Financial Applications. Wiley.
[4.] Davis, R. A., Fokianos, K., Holan, S. H., Joe, H., Livsey, J., Lund, R., Pipiras, V., and Ravishanker, N. (2021). Count time series: A methodological review. Journal of the American Statistical Association, 116: 1533--1547.
[5.] Cipollini, F. a Gallo, M. G. (2022): Multiplicative Error Models: 20 years on. In press in Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2022.05.005