601 research outputs found
Vybrané problémy finančních časových řad
No full textTitle: Selected problems of financial time series modelling Author: Radek Hendrych Department: Department of Probability and Mathematical Statistics (DPMS) Supervisor: Prof. RNDr. Tomáš Cipra, DrSc., DPMS Abstract: The present dissertation thesis deals with selected problems of financial time series analysis. In particular, it focuses on two fundamental aspects of condi- tional heteroscedasticity modelling. The first part of the thesis introduces and discusses self-weighted recursive estimation algorithms for several classic univariate conditional heteroscedasticity models, namely for the ARCH, GARCH, RiskMetrics EWMA, and GJR-GARCH processes. Their numerical capabilities are demonstrated by Monte Carlo experiments and real data examples. The second part of the thesis proposes a novel approach to conditional covariance (correlation) modelling. The suggested modelling technique has been inspired by the essential idea of the multivariate orthogonal GARCH method. It is based on a suitable type of linear time-varying orthogonal transformation, which enables to employ the constant conditional correlation scheme. The correspond- ing model is implemented by using a nonlinear discrete-time state space representation. The proposed approach is compared with other commonly applied models. It demon- strates its...Název práce: Vybrané problémy finančních časových řad Autor: Radek Hendrych Katedra: Katedra pravděpodobnosti a matematické statistiky (KPMS) Vedoucí disertační práce: Prof. RNDr. Tomáš Cipra, DrSc., KPMS Abstrakt: Předložená disertační práce se věnuje vybraným problémům z oblasti analýzy finančních časových řad. Detailněji se zaměřuje na dva dílčí aspekty mode- lování podmíněné heteroskedasticity. První část práce prezentuje a diskutuje různé rekurentní odhadové algoritmy navržené pro běžné jednorozměrné modely podmíněné heteroskedasticity, jmenovitě pro procesy typu ARCH, GARCH, RiskMetrics EWMA a GJR-GARCH. Tyto procedury jsou numericky posouzeny prostřednictvím Monte Carlo experimentů a empirických studií vycházejících z reálných dat. Ve druhé části práce je představen inovativní přístup k modelování podmíněných kovariancí (korelací). Odvození navrhované techniky bylo inspirováno ústřední myšlenkou mnohorozměrného ortogonálního GARCH modelu. Principiálně je založeno na vhodném typu lineární dynamické ortogonální transformace, která dále dovoluje aplikovat standardní schéma konstantních podmíněných korelací. Odpovídající model je implementován pomocí neli- neární diskrétní stavové...Katedra pravděpodobnosti a matematické statistikyDepartment of Probability and Mathematical StatisticsFaculty of Mathematics and PhysicsMatematicko-fyzikální fakult
Selected problems of financial time series modelling
No full textTitle: Selected problems of financial time series modelling Author: Radek Hendrych Department: Department of Probability and Mathematical Statistics (DPMS) Supervisor: Prof. RNDr. Tomáš Cipra, DrSc., DPMS Abstract: The present dissertation thesis deals with selected problems of financial time series analysis. In particular, it focuses on two fundamental aspects of condi- tional heteroscedasticity modelling. The first part of the thesis introduces and discusses self-weighted recursive estimation algorithms for several classic univariate conditional heteroscedasticity models, namely for the ARCH, GARCH, RiskMetrics EWMA, and GJR-GARCH processes. Their numerical capabilities are demonstrated by Monte Carlo experiments and real data examples. The second part of the thesis proposes a novel approach to conditional covariance (correlation) modelling. The suggested modelling technique has been inspired by the essential idea of the multivariate orthogonal GARCH method. It is based on a suitable type of linear time-varying orthogonal transformation, which enables to employ the constant conditional correlation scheme. The correspond- ing model is implemented by using a nonlinear discrete-time state space representation. The proposed approach is compared with other commonly applied models. It demon- strates its..
Econometric systems of simultaneous equations in life insurance
No full textTitle: Econometric systems of simultaneous equations in life insurance Author: Radek Hendrych Department: Department of Probability and Mathematical Statistics Supervisor: prof. RNDr. Tomáš Cipra, DrSc. Supervisor's e-mail address: [email protected] Abstract: In present work we deal with theoretical and practical issues related to econometric systems of (linear) simultaneous equations. In the first chapter we introduce to theoretical aspects of this problem. We devote considerable space to estimation procedures and comparisons of their properties, mention questions of identification, an inconsistency of OLS-estimates for the simultaneous modeling, tests of hypotheses specific to this area, dynamic systems and constructions of forecasts in models. In the second chapter we introduce selected basic concepts relevant to life insurance. In the third chapter we show the practical application of theoretical knowledge in the event of an econometric model of financial flows in the life insurance company operating on the Czech market. We compare ordinary estimation procedures (2SLS and 3SLS approach), perform some tests, which serve us to verify selected information on the studied model. We show the possibility of using residual bootstrap, including examples of use in the construction of confidence intervals...
W stronę kultury przyjemności: Recenzja The Philosophy of Pleasure Katarzyny de Lazari-Radek
No full textThe text is a review of the book The Philosophy of Pleasure by Katarzyna de Lazari-Radek. The author considers the book from a cultural perspective.Tekst stanowi recenzję książki The Philosophy of Pleasure Katarzyny de Lazari-Radek. Autor przygląda się jej w perspektywie kulturowej. 
On the “Other Side” of the World of Imagination: An Artis-tic Dialogue Between Radek Knapp and Alfred Kubin
No full textThis article examines the connexion between literature and art based on the example of the works of the writer Radek Knapp and the artist Alfred Kubin. Radek Knapp, the Austrian writer of Polish descent, is known as an author of optimistic and funny novels. Alfred Kubin, author of the novel The Other Side, was very appreciated for his illustrations during his lifetime. Many of his drawings are clothed in dark shadow and they are in contrast to the optimistic prose by Knapp. The idea to illustrate the 41 prints by Alfred Kubin with words was born in the Leopold Museum in Vienna. The short story by Radek Knapp, Die Stunde der Geburt / The Hour of Birth (2017) is, on the one hand, an artistic dialogue between writer and painter, and on the other, it becomes an universal story about searching for the meaning in life.Das Anliegen dieses Beitrags besteht darin, das Verhältnis zwischen Literatur und Malerei am Beispiel von den Werken Radek Knapp und Alfred Kubin zu untersuchen. Die Romane und Erzählungen von Radek Knapp, dem österreichischen Schriftsteller polnischer Herkunft, zeichnen sich durch Witz, Pfiff und Humor aus. Alfred Kubin, Graphiker und Autor des Romans Die andere Seite, wurde zu seinen Lebzeiten vor allem für seine Buchillustrationen geschätzt. Viele Bilder von Kubin sind von der Dunkelheit verhüllt, was im starken Kontrast zu dem heiteren Ton der Prosa von Radek Knapp steht. Die Idee, die einundvierzig Graphiken von Kubin mit dem Text zu illustrieren, war die Voraussetzung für die Sonderausstellung in Wiener Leopold Museum. Die Erzählung von Radek Knapp Die Stunde der Geburt / The Hour of Birth (2017) ist nicht nur der Katalog zur erwähnten Ausstellung, sondern auch der künstlerische Dialog zwischen dem Schriftsteller und dem Zeichner sowie auch eine universelle Geschichte von der Suche nach dem Sinn des Lebens.Przedmiotem artykułu jest wzajemna relacja literatury i malarstwa poddana analizie na przykładzie twórczości Radka Knappa i Alfreda Kubina. Radek Knapp, austriacki pisarz polskiego pochodzenia, zasłynął jako autor tryskających humorem powieści i opowiadań. Alfred Kubin, autor powieści Die andere Seite (Po tamtej stronie), za życia ceniony był przede wszystkim za swoją pracę ilustratorską. Wiele rysunków Kubina spowija mroczna aura, która żywo kontrastuje z pogodnym tonem prozy Knappa. Idea zilustrowania słowem czterdziestu jeden grafik Kubina przyświecała twórcom wystawy w wiedeńskim Leopold Museum. Opowiadanie Radka Knappa Die Stunde der Geburt / The Hour of Birth (2017) jest nie tylko katalogiem wspomnianej wystawy, ale i artystycznym dialogiem pisarza z rysownikiem oraz uniwersalną opowieścią o poszukiwaniu sensu życia
Tests for time series linearity
No full textTitle: Testing for linearity in time series Author: Martin Melicherčík Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Zuzana Prášková, CSc., Department of Probability and Mathematical Statistics Abstract: In the first part of the thesis, a necessary theoretical base from time series analysis is explained, which is consequently used to formulate several tests for linearity. According to variety of approaches the theory includes wide range of knowledge from correlation and spectral analysis and introduces some basic nonlinear models. In the second part, linearity tests are described, classified and compared both theoretically and practically on simulated data from several linear and nonlinear models. At the end, some scripts and hints in R language are introduced that could be used when applying tests to real data. Keywords: linear time series, bispectrum, testing for linearity, nonlinear model
Holt-Winters method with missing observations and its actuarial application
No full textNázev práce: Holtova-Wintersova metoda s chybějícími pozorováními a její aktuárské aplikace Autor práce: Jiří Gregor Katedra: Katedra pravděpodobnosti a matematické statistiky Vedoucí bakalářské práce: prof. RNDr. Tomáš Cipra, DrSc. Katedra vedoucího práce: Katedra pravděpodobnosti a matematické statistiky Abstrakt: Práce stručně popisuje problematiku časových řad a sezónnosti. Představuje různé přístupy k vyrovnání a predikci časových řad. Hlavní část práce je věnována Holtově - Wintersově metodě pro časové řady s chybějícími pozorováními a její následná aplikace na aktuárská data. Klíčová slova: Časové řada, vyrovnávání, Holtova - Wintersova metoda s chybějícími pozorováními 1Title: Holt-Winters method with missing observations and its actuarial application Author: Jiří Gregor Department: Department of Probability and Mathematical Statistics Supervisor: prof. RNDr. Tomáš Cipra, DrSc. Supervisor's department: Department of Probability and Mathematical Statistics Abstract: This thesis describes problematics of time series and its seasonal component. It shows different approaches to smoothing and prediction of time series. The main part of thesis is devoted to Holt-Winters method with missing observations and its actuarial application. Keywords: Time serie, smoothing, Holt-Winters method with missing observations 1Department of Probability and Mathematical StatisticsKatedra pravděpodobnosti a matematické statistikyMatematicko-fyzikální fakultaFaculty of Mathematics and Physic
Random variables transformations and their applications
No full textKatedra pravděpodobnosti a matematické statistikyDepartment of Probability and Mathematical StatisticsFaculty of Mathematics and PhysicsMatematicko-fyzikální fakult
Karl Radek i Bjuro meždunarodnoj informacii CK VKP(b), 1932-1934 gg.
No full textAbstractKarl Radek and the Bureau of International Information of the CPSU’s Central Committee, 1932-1934.This article studies the short-lived history of the Bureau of International Information (BMI) of the CPSU’s Central Committee. The creation of this bureau can be explained by a crisis in the activities of regular foreign policy institutions in the early 1930s as well as by a growing tendency towards authoritarianism, the tightening of Stalin’s control over the activities of party and state organs. According to the author, the BMI was rather the informal institution of Stalin’s personal plenipotentiary than a regular administration. Therefore, the analysis deals mainly with the activities of the BMI’s director Karl Radek. From 1932 to 1934, these activities were primarily focused on political relations between the USSR, Poland and Germany. Radek developed a concept of Soviet foreign policy that he placed at the core of his negotiations with Pi¬sudski’s representatives. This concept aimed at establishing a sound collaboration between the USSR and Poland based on their anti-German sentiment, and at turning Poland from a major potential enemy of the Soviet Union into a strategic partner. The defeat of Radek’s ideas and the crisis that took place in the Soviet-Polish rapprochement in late 1933 and early 1934 brought about the decline of his influence and of that of the BMI. The bureau definitely closed in 1936. The analysis is based on Soviet and Polish archival documents and printed diplomatic documents and memoirs
Testy linearity v časových řadách
No full textNázev práce: Testy linearity v časových řadách Autor: Martin Melicherčík Katedra: Katedra pravděpodobnosti a matematické statistiky Vedoucí diplomové práce: doc. RNDr. Zuzana Prášková, CSc., Katedra pravděpo- dobnosti a matematické statistiky Abstrakt: Práca v začiatku podáva potrebné teoretické základy z oblasti časových radov, ktoré sú potom využité na zostavenie viacerých testov linearity. Vzhl'adom na rôznorodost' prístupov, teória zasahuje pomerne široko do korelačnej aj spek- trálnej analýzy a uvádza niektoré základné nelineárne modely. Testy sú v druhej časti popísané, utriedené a porovnané teoreticky aj prakticky na simulovaných dátach z viacerých lineárnych a nelineárnych modelov. V závere sú spomenuté užitočné rady z aplikácie testov na dáta v jazyku R. Klíčová slova: lineárne časové rady, bispektrum, testovanie linearity, nelineárne modelyTitle: Testing for linearity in time series Author: Martin Melicherčík Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Zuzana Prášková, CSc., Department of Probability and Mathematical Statistics Abstract: In the first part of the thesis, a necessary theoretical base from time series analysis is explained, which is consequently used to formulate several tests for linearity. According to variety of approaches the theory includes wide range of knowledge from correlation and spectral analysis and introduces some basic nonlinear models. In the second part, linearity tests are described, classified and compared both theoretically and practically on simulated data from several linear and nonlinear models. At the end, some scripts and hints in R language are introduced that could be used when applying tests to real data. Keywords: linear time series, bispectrum, testing for linearity, nonlinear modelsDepartment of Probability and Mathematical StatisticsKatedra pravděpodobnosti a matematické statistikyFaculty of Mathematics and PhysicsMatematicko-fyzikální fakult
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