Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models

Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, we model the value-at-risk using a set of univariate GARCH-type models. Our results show that, in both in-sample and out-of-sample value-at-risk estimations, the models based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distribution (i.e., Normal or Student) when the left tails of daily return distributions are concerned. Evaluation of the same models is less clear, however, when the right tails of the distribution of daily returns must be modelled. We suggest an asset-specific approach to selecting the correct parametric VaR model that depends not only on the risk level considered but also on the position in the underlying asset.Value-at-Risk, Expected Shortfall, Backtesting

Seasonality and Non-Trading Effect on Central European Stock Markets (in English)

This paper investigates seasonality and non-trading effects on central European stock markets within the framework of a periodic autoregressive model for both the mean and the volatility of stock returns. The authors find significant day-of-week effects in the mean of returns on the Czech PX-D and the Polish WIG indices, and significant seasonality in the volatility of the Hungarian BUX index. Similarly, the authors´ empirical results indicate the presence of the non-trading effect in the mean of WIG stock returns. The seasonal patterns in central European stock indices cannot, however, be attributed to any particular day-of-week effect.conditional heteroskedasticity, day-of-week effect, non-trading effect, seasonality

Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data

This paper investigates the behavior of the EUR/CZK, EUR/HUF and EUR/PLN spot exchange rates in the period 2002–2008, using 5-minute intraday data. The authors find that daily returns on the corresponding exchange rates scaled by model-free estimates of daily realized volatility are approximately normally distributed and independent over time. On the other hand, daily realized variances exhibit substantial positive skewness and very persistent, long-memory type of dynamics. The authors estimate a simple three-equation model for daily returns, realized variance and the time-varying volatility of realized variance. The model captures all salient features of the data very well and can be successfully employed for constructing point, as well as density forecasts for future volatility. The authors also discuss some issues associated with measuring volatility from the noisy high-frequency data and employ a simple correction that accounts for the distortions present in our dataset.intraday data, realized variance, return and volatility distributions, heterogeneous autoregressive model

Volatility Transmission in Emerging European Foreign Exchange Markets

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold-Yilmaz volatility spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty.foreign exchange markets, volatility, spillovers, intraday data, nonlinear dynamics

Computer vision and stereo vision

Tato diplomová práce se zabývá využitím softwarového nástroje Computer Vision System Toolbox pro vytvoření aplikací v počítačovém vidění. Na začátku práce je provedena rešerše snímání obrazu a jeho reprezentace pomocí barevných modelů. Následuje popis epipolární geometrie a nakonec je uveden popis Computer Vision System Toolboxu. V další části se zabýváme nastavením použitých kamer Basler a zpracováním snímaného obrazu. Následuje popis vytvoření aplikace pro detekci objektu. Po tomto popisu se seznámíme s aplikací pro vytvoření hloubkové mapy prostoru.This dissertation work is describing the usage of the software tool Computer Vision System Toolbox to create applications in computer vision. At the beginning of the work is performed background research of image scanning and its representation by using colour models. It is followed by a description of epipolar geometry and lastly is stated a description of the Computer Vision System Toolbox. In the next section of the work we deal with setting of used Basler cameras and processing of the scanned image. The following is a description how to create applications for object detection and after this description, we get to know applications for creation of depth maps area.

Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market

In this study, we evaluate the quantile forecasts of the daily equity returns on three of the most liquid stocks traded on the Prague Stock Exchange. We follow the recent findings that consider the potential value of intraday information for volatility forecasting and, instead of proxying volatility using daily squared returns, we use both the intraday returns as well as their lower frequency aggregate (realized volatility) to forecast volatility and ultimately the quantiles of the distributions of future returns under different scenarios. We find that a simple autoregressive model for realized volatility together with the assumption of a normal distribution for expected returns results in VaR forecasts that are no worse than those based on other models (HAR, MIDAS) and/or other methods of computing the distribution of future returns. In fact, similar results obtain across the different forecast horizons and at both 2.5% and 5% VaR levels despite superior performance of HAR model in out-of-sample volatility forecasts.Intraday data, heterogeneous autoregressive model, mixed data sampling model, realized volatility, Value-at-Risk

Realization of the electronic locks control board

Bakalářská práce se zabývá návrhem ovládání elektrického zámku s použitím technologie RFID. V první části této práce je uveden popis funkce technologie RFID. Jsou uvedeny výhody RFID a také její rozdělení. Dále budou popsány různé typy elektrických zámků, které lze použít. Ve druhé části je popsán návrh elektroniky RFID. Je uveden popis řídícího mikrokontroléru a jeho zapojení se čtecí částí RFID a také se spínací částí elektrického zámku. V této části je také uveden popis návrhu desky plošných spojů pro řídící zařízení a pro RFID modul. Poslední část se věnuje programovému vybavení mikrokontroléru. Jsou zde uvedena bloková schémata vytvořeného programu a popis bezdrátové komunikace a rozhraní UART.The bachelor's thesis deals with design of a control for electrical lock using the RFID technology. In the first part of this project is stated a description of the function of the RFID technology. There are described advantages of the RFID and also its classification. Further, will be described various types of electrical locks which can be used. The second part of the project is describing design of RFID electronics. There is stated specification of control microcontroller and its wiring with the RFID reading part and also with the switching part of the electrical lock. In this part is also listed description of design of circuit boards for control appliance and for RFID module. The last part of the project is dedicated to the software of microcontroller. There are stated block diagrams of created program and description of wireless communication and UART interface.

The Development Of Team’s Structure Of The Czech National Basketball League And Share Of Foreigners In Gaming Performance

Studie se zaměřuje na problematiku složení družstev v české nejvyšší basketbalové soutěži – extralize mužů, od sezóny 1998/99 do ročníku 2008/ 09. Sledovaný soubor hráčů je rozdělen do tří skupin: Češi do 20 let, Češi nad 20 let včetně, a cizinci. Základní metodou šetření byla obsahová analýza herních statistik utkání – počet hráčů, počet odehraných minut, počet vstřelených bodů, koeficient užitečnosti a údaje o složení družstev. Výsledky potvrdily předpokládaný nárůst počtu cizinců v jednotlivých družstvech a jejich stále se zvyšující vliv - v naší studii prezentovaný koeficientem užitečnosti hráčů - na probíhající zápasy extraligy. Trend začlenění a přínosu českých hráčů se ukázal být naopak klesající. Naše předpoklady tak byly potvrzeny. Práce poukazuje svými výsledky na změny ve složení jednotlivých hráčských družstev.This article looks at the evolution of the structure of teams in the highest Czech basketball league. The tracking period was from seasons 1998/99 to 2008/09. This research is based on content analysis of game statistics from particular games. The sample of players was classified into three groups (Czech players younger than twenty years, Czech players twenty years old and older, foreign players) and evaluates statistical characteristics by the comparative method. These include the number of players, minutes played, points scored and coefficient of usefulness. The results confirmed the expected increase of the number of foreign players as well as the continuously growing impact on the game. The impact is expressed as a coefficient of player’s utility. In contrast to this, the trend of participation and usefulness of Czech players who were younger than twenty years is shown to be diminishing. The hypotheses of this study is therefore proven valid. The article refers to the change of the team constitution

Kmitání v pohonech výrobních strojů

Tato publikace se zabývá pouze některými dílčími problémy z oblasti kmitání s hlavním zaměřením na pohony posuvů NC obráběcích strojů

How strong is the linkage between tourism and economic growth in Europe?

In this study, we examine the dynamic relationship between tourism growth and economic growth, using a newly introduced spillover index approach. Based on monthly data for 10 European countries over the period 1995{2012, our analysis reveals the following empirical regularities. First, the tourism-economic growth relationship is not stable over time in terms of both magnitude and direction, indicating that the tourism{led economic growth (TLEG) and the economic{driven tourism growth (EDTG) hypotheses are time{dependent. Second, the aforementioned relationship is also highly economic event{dependent, as it is influenced by the Great Recession of 2007 and the ongoing Eurozone debt crisis that began in 2010. Finally, the impact of these economic events is more pronounced in Cyprus,Greece, Portugal and Spain, which are the European countries that have witnessed the greatest economic downturn since 2009. Plausible explanations of these results are provided and policy implications are drawn