Financial time series modelling with trend

Various models can be used for the analysis of financial time series. This thesis focuses mainly on two models; non-linear trend model and linear trend model. First chapter is theoretial, there is an introduction to the theory of time series and to the autoregressive process. Second chapter is also theoretical and it focuses on a description of both non-linear and linear trend model including derivations of im- portant properties of these models; moreover, it contains theory for the modelling of financial time series and predictions. Last chapter contains simulations of two mentioned models and estimations of their parameters, Wolfram Mathematica is used for all simulations.

Special aspects of non-linear time series modelling

Various models, such as ARMA and GARCH, are used in the financial time series framework. The purpose of this thesis is to present an alternative for these models which are bilinear time series models. First chapter is theore- tical, there is a short introduction to the theory of time series and ARMA models. Second chapter focuses on theoretical aspects of the simple bilinear model, third chapter presents the theory for general bilinear model in the similiar fashion as for simple model. Last chapter is focused on practical aspects, it contains simulations and examines the properties of estimates based on the presented theory, final part is devoted to the comparison of properties of ARMA models and bilinear models for selected financial data.

Special aspects of non-linear time series modelling

Various models, such as ARMA and GARCH, are used in the financial time series framework. The purpose of this thesis is to present an alternative for these models which are bilinear time series models. First chapter is theore- tical, there is a short introduction to the theory of time series and ARMA models. Second chapter focuses on theoretical aspects of the simple bilinear model, third chapter presents the theory for general bilinear model in the similiar fashion as for simple model. Last chapter is focused on practical aspects, it contains simulations and examines the properties of estimates based on the presented theory, final part is devoted to the comparison of properties of ARMA models and bilinear models for selected financial data. 1V analýze finančních časových řad se používají především modely ARMA a GARCH. V této práci představíme alternativu ke zmíněným modelům, a to bilineární modely. Nejprve jsou popsány základy teorie časových řad, dále je podrobně rozebrána teorie pro jednoduchý bilineární model a následně je představena teorie pro obecné bilineární modely. Poslední kapitola je prak- tická, obsahuje simulační studii pro posouzení vlastností odhadů dle předlo- žené teorie a v závěrečné části jsou pro zvolená finanční data porovnány kvalitativní vlastnosti modelů ARMA a bilineárních modelů. 1Katedra pravděpodobnosti a matematické statistikyDepartment of Probability and Mathematical StatisticsMatematicko-fyzikální fakultaFaculty of Mathematics and Physic

Financial time series modelling with trend

K analýze finančních časových řad se používá mnoho modelů. Tato práce se zabývá v teoretické i v praktické části dvěma z nich; modelem s nelineárním trendem a modelem s lineárním trendem, které jsou založeny na autoregresním procesu. Nejprve jsou v práci popsány základy teorie časových řad a teorie au- toregresního procesu, následně je vyložena teorie obou modelů s lineárním i ne- lineárním trendem, včetně odvození vlastností časových řad používaných v těchto modelech. Praktická část je simulační studií, ve které jsou pro oba modely nagene- rovány časové řady, na základně popsané teorie jsou pak odhadovány parametry těchto modelů s diskuzí jejich přesnosti. 1Various models can be used for the analysis of financial time series. This thesis focuses mainly on two models; non-linear trend model and linear trend model. First chapter is theoretial, there is an introduction to the theory of time series and to the autoregressive process. Second chapter is also theoretical and it focuses on a description of both non-linear and linear trend model including derivations of im- portant properties of these models; moreover, it contains theory for the modelling of financial time series and predictions. Last chapter contains simulations of two mentioned models and estimations of their parameters, Wolfram Mathematica is used for all simulations. 1Department of Probability and Mathematical StatisticsKatedra pravděpodobnosti a matematické statistikyMatematicko-fyzikální fakultaFaculty of Mathematics and Physic

Application-relevant characterization of magnetron-sputtered carbon nitride films

Carbon nitride (CNx) films were deposited onto Si substrates by radio frequency magnetron sputtering at nitrogen pressures up to 0.3Pa (the resulting nitrogen concentration ranged from 32 to 41%). Their optical properties, structure and bonding were characterized by spectroscopic ellipsometry, X-ray diffraction, Raman spectroscopy, Fourier transform infrared spectroscopy and scanning electron microscopy. The films exhibit a behavior typical for disordered systems, and no known C3N4 structure was identified. A pronounced effect of the nitrogen partial pressure is found for the low pressure region. The presence of various types of C-N bond, as well as of hydrogen and oxygen, is revealed. The complementarity of information inferred from Raman and IR spectra is discussed. © 1999 Elsevier Science S.A.SCOPUS: ar.jinfo:eu-repo/semantics/publishe

Properties of BaTiO3 confined in nanoporous Vycor and artificial opal silica

Using the sol-gel technique, BaTiO3 was embedded into nanoporous Vycor and artificial vitreous opal silica for the first time. About 50 vol% of the pores was filled. In case of the Vycor glass (pore diameter 4–6 nm) only amorphous phase was revealed by XRD, IR reflectivity and Raman spectra. After additional gradual annealing, no crystallization was achieved. Chemical reaction with the SiO2 skeleton started at ~1000 K. The room-temperature IR and Raman spectra clearly show characteristic vibrational modes of the ferroelectrically distorted TiO6 octahedra without any long-range order. In case of the opal matrix (densely packed silica spheres, pore diameter up to ~50 nm), crystallization of the ferroelectric BaTiO3 appeared in coexistence with the amorphous phase, but the penetration depth of the crystalline BaTiO3 was limited. From the apparent temperature independence of the effective wide-frequency dielectric response due to the essentially temperature independent effective soft mode stiffened to ~100 cm-1, we can deduce that no macroscopic percolation of the crystalline BaTiO3 has appeared in our opal matrix. Nevertheless, Raman spectra bring evidence of a diffuse ferroelectric phase transition in the opal-BaTiO3 composite

PLD prepared bioactive BaTiO₃ films on TiNb implants

Abstract BaTiO₃ (BTO) layers were deposited by pulsed laser deposition (PLD) on TiNb, Pt/TiNb, Si (100), and fused silica substrates using various deposition conditions. Polycrystalline BTO with sizes of crystallites in the range from 90 nm to 160 nm was obtained at elevated substrate temperatures of (600 °C–700 °C). With increasing deposition temperature above 700 °C the formation of unwanted rutile phase prevented the growth of perovskite ferroelectric BTO. Concurrently, with decreasing substrate temperature below 500 °C, amorphous films were formed. Post-deposition annealing of the amorphous deposits allowed obtaining perovskite BTO. Using a very thin Pt interlayer between the BTO films and TiNb substrate enabled high-temperature growth of preferentially oriented BTO. Raman spectroscopy and electrical characterization indicated polar ferroelectric behaviour of the BTO films