Relationship between Czech and European developed stock markets: DCC MVGARCH analysis

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an existence of increasing trend in conditional correlations among a whole European region. The trend reveals breakpoints splitting a data series into three phases of development. The analysis includes a composition of returns adjusted by exchange rates capturing a point of view of global investors. The Czech Koruna exchange rate effects in a conjunction with equity returns are identified as a possible risk aversion instrument. Granger causality concept is added in order to find a development of data flow directions in a perspective of the Czech market. Results show that unidirectional influence of foreign markets affecting Czech market occurs in data series.stock market integration, multivariate analysis, dynamic modelling, conditional correlation

Volatilita akciového trhu v České republice : vzestupy a pády

The thesis concentrate on a volatility analysis os a stock market in the Czech Republic in years 1994-2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan, econometric tools include GARCH model and its most popular derivates and generalisations I.E. IGARCH, EGARCH AND APARCH PROCESSES. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class model estimations, forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. Data source used during the model estimation includes a development of stock indices and also net profits from point of view of Czech investor investing on global markets. It is furthermore supported by Granger causality estimation, which reveals a long-lasting unidirectional dependence of PSE on other developed markets. The complex results, which arise from a synergistic compound of particular econometric models, show that the stock market in the Czech Republic came through three main phases.Tato práce se zabývá analýzou volatility českého akciového trhu v letech 1994 až 2009 včetně srovnání s vyspělými světovými akciovými trhy - konkrétně se jedná o evropský region, USA a Japonsko. Nástroji ekonometrické analýzy jsou často užívané modely odvozené od původního procesu GARCH tzn. IGARCH, EGARCH a APARCH procesy. Práce je rozdělena do dvou hlavních částí. První část je věnována analýze volatility Burzy cenných papírů Praha založené pouze na domácích informacích. Analýza obsahuje odhady modelů GARCH, srovnání jejich schopností předpovídání a rovněž část věnovanou strukturálním zlomům založené na ICSS algoritmu, Inclan-Tiao testu a jeho upravených verzích. Další část se zabývá dynamickou analýzou založenou na DCC MVGARCH modelu, který popisuje vývoj volatility spillover efektů během pozorovaného období. Datový zdroj využitý při odhadu modelu obsahuje vývoj hodnot akciových indexů i čistých výnosů z pohledu českého investora investujícím na globálních trzích. Analýza je dále podpořena výpočty Grangerovy kausality, která odhaluje dlouhodobou jednosměrnou závislost BCPP na ostatních vyspělých trzích. KOMPLEXNÍ VÝSLEDKY, KTERÉ VYCHÁZÍ ZE SYNERGICKÉHO SPOJENÍ KONKRÉTNÍCH EKONOMETRICKÝCH MODELŮ UKAZUJÍ, ŽE ČESKÝ AKCIOVÝ TRH PROŠEL TŘEMI FÁZEMI VÝVOJE.Institut ekonomických studiíInstitute of Economic StudiesFaculty of Social SciencesFakulta sociálních vě

The Stock Market Volatility in the Czech Republic: Rises and Falls

A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality..

Volatilita akciového trhu v ČR:Vzestupy a pády

A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality..

Stock exchange in the Czech Republic : entry conditions

The bachelor thesis concentrate on evaluation of conditions for using common stock financing. We explain motivation for using diffent kind of financing methods from corporate finance and corporate governance point of view and put emphasis on relationship between debt and equity financing. We evaluate influences of stock market development, institutional framework and entry procedure problems. We come to conclusion that effects, which formerly caused prevalence of debt financing and obstructed effective stock market functioning, are developing in favour of common stock financing. Powered by TCPDF (www.tcpdf.org

The stock market volatility in the Czech Republic : rises and falls

The thesis concentrate on a volatility analysis os a stock market in the Czech Republic in years 1994-2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan, econometric tools include GARCH model and its most popular derivates and generalisations I.E. IGARCH, EGARCH AND APARCH PROCESSES. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class model estimations, forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. Data source used during the model estimation includes a development of stock indices and also net profits from point of view of Czech investor investing on global markets. It is furthermore supported by Granger causality estimation, which reveals a long-lasting unidirectional dependence of PSE on other developed markets. The complex results, which arise from a synergistic compound of particular econometric models, show that the stock market in the Czech Republic came through three main phases

Volatilita akciového trhu v ČR:Vzestupy a pády

A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality...Akciový trh v České republice prošel významným vývojem, od svého umělého začátku, přes prudký pokles počtu emitentů, po postupný nárůst kapitalizace, který byl ovšem náhle ukončen globální finanční krizí v roce 2008. Diplomová práce se zabývá analýzou volatility českého akciového trhu v letech 1994 až 2009 včetně srovnání s vyspělými světovými akciovými trhy - konkrétně se jedná o evropský region, USA a Japonsko. Analýza obsahuje nejdůležitější a nejvlivnější události týkající se světových trhů a také vývoje Pražské burzy cenných papírů. Nástroji ekonometrické analýzy jsou často užívané modely odvozené od původního procesu GARCH tzn. IGARCH, EGARCH a APARCH procesy. Diplomová práce je rozdělena do dvou hlavních částí. První část je věnována analýze volatility Burzy cenných papírů Praha založené pouze na domácích informacích. Analýza obsahuje odhady modelů GARCH, srovnání jejich schopností předpovídání a rovněž část věnovanou strukturálním zlomům založené na ICSS algoritmu, Inclan-Tiao testu a jeho upravených verzích. Další část se zabývá dynamickou analýzou založenou na DCC MVGARCH modelu, který popisuje vývoj volatility spillover efektů během pozorovaného období. Analýza je dále podpořena výpočty Grangerovy kausality, která odhaluje skutečný směr působení vzájemných vztahů mezi BCPP a ostatními...Institut ekonomických studiíInstitute of Economic StudiesFakulta sociálních vědFaculty of Social Science

Phase III randomized trial of image-guided bone marrow-sparing intensity modulated radiation therapy (IG-BMS-IMRT) for locoregionally advanced cervical cancer: The INTERTECC-3 trial

TPS5600 Background: Cervical cancer is a leading cause of cancer death in women worldwide. Image-guided bone marrow-sparing intensity modulated radiation therapy (IG-BMS-IMRT) has shown potential to reduce acute toxicity of chemoradiotherapy and improve chemotherapy delivery in phase I and II trials (Mell LK, Sirák I, Wei L, et al. Bone Marrow-sparing IMRT With Concurrent Cisplatin For Stage IB-IVA Cervical Cancer: An International Multicenter Phase II Clinical Trial (INTERTECC-2). Int J Radiat Oncol Biol Phys 2017;97:536-545. Mell LK, Saenz CC, Yashar CM, et al. Phase I Trial of Bone Marrow Sparing IMRT With Concurrent Cisplatin and Gemcitabine in Stage IB-IVA Cervical Cancer (abstr.) Int J Radiat Oncol Biol Phys 2016; 96: S14.). Methods: INTERTECC-3 is a randomized phase III trial designed to test the effect of IG-BMS-IMRT on progression-free survival (PFS) for women with unresected FIGO stage IB-IVA cervical carcinoma (clinicaltrials.gov #NCT01554397). It presently involves centers in the U.S., Czech Republic, U.K., India, Japan, and China. Women are randomized 3:2 to either (A) IG-BMS-IMRT or (B) standard chemoradiation, with 6 cycles of concurrent cisplatin (40 mg/m2) weekly in both arms. Secondary objectives are to compare overall survival, treatment-related toxicity, disease recurrence, quality of life, chemotherapy delivery, and radiation quality assurance. Planning objectives require maintaining pelvic marrow and active marrow mean doses < 27 Gy and < 28.5 Gy respectively. Correlative studies involve longitudinal collection of magnetic resonance restriction spectrum imaging and 18F-fluorothydimine positron emission tomography scans to assess imaging biomarkers of treatment response in select patients. 415 women will be enrolled to determine if IG-BMS-IMRT improves the median PFS from 3.2 to 5.0 years with 80% power and alpha = 0.05. INTERTECC-3 opened in the U.S. and Czech Republic in 2016. To date, 17 patients have been randomized. The trial will be activated at additional international sites in late 2017 and 2018. We are seeking to recruit sites who wish to collaborate. Clinical trial information: NCT01554397