| dc.contributor.advisor | Zichová, Jitka | |
| dc.creator | Hybler, Eduard | |
| dc.date.accessioned | 2017-04-07T15:01:51Z | |
| dc.date.available | 2017-04-07T15:01:51Z | |
| dc.date.issued | 2008 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11956/14204 | |
| dc.description.abstract | This thesis is devoted to the multivariate canonical ARMA model and then continues with determination of a graphical model. Graphical model includes also relations between contemporaneous variables, not only dependence on past variables. In the practical part of this work canonical AR model is identi ed using software Mathematica. In this model we specify structural autoregresion according to the graphical models methodology. A time series of exchange rates was processed. It is together with program included on the enclosed CD. | en_US |
| dc.language | Čeština | cs_CZ |
| dc.language.iso | cs_CZ | |
| dc.publisher | Univerzita Karlova, Matematicko-fyzikální fakulta | cs_CZ |
| dc.title | Moderní přístupy k analýze finančních časových řad | cs_CZ |
| dc.type | diplomová práce | cs_CZ |
| dcterms.created | 2008 | |
| dcterms.dateAccepted | 2008-02-06 | |
| dc.description.department | Department of Probability and Mathematical Statistics | en_US |
| dc.description.department | Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.description.faculty | Matematicko-fyzikální fakulta | cs_CZ |
| dc.description.faculty | Faculty of Mathematics and Physics | en_US |
| dc.identifier.repId | 43530 | |
| dc.title.translated | Modern Approach To Financial Time Series Analysis | en_US |
| dc.contributor.referee | Hurt, Jan | |
| dc.identifier.aleph | 001174046 | |
| thesis.degree.name | Mgr. | |
| thesis.degree.level | magisterské | cs_CZ |
| thesis.degree.discipline | Financial and insurance mathematics | en_US |
| thesis.degree.discipline | Finanční a pojistná matematika | cs_CZ |
| thesis.degree.program | Matematika | cs_CZ |
| thesis.degree.program | Mathematics | en_US |
| uk.thesis.type | diplomová práce | cs_CZ |
| uk.taxonomy.organization-cs | Matematicko-fyzikální fakulta::Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| uk.taxonomy.organization-en | Faculty of Mathematics and Physics::Department of Probability and Mathematical Statistics | en_US |
| uk.faculty-name.cs | Matematicko-fyzikální fakulta | cs_CZ |
| uk.faculty-name.en | Faculty of Mathematics and Physics | en_US |
| uk.faculty-abbr.cs | MFF | cs_CZ |
| uk.degree-discipline.cs | Finanční a pojistná matematika | cs_CZ |
| uk.degree-discipline.en | Financial and insurance mathematics | en_US |
| uk.degree-program.cs | Matematika | cs_CZ |
| uk.degree-program.en | Mathematics | en_US |
| thesis.grade.cs | Dobře | cs_CZ |
| thesis.grade.en | Good | en_US |
| uk.abstract.en | This thesis is devoted to the multivariate canonical ARMA model and then continues with determination of a graphical model. Graphical model includes also relations between contemporaneous variables, not only dependence on past variables. In the practical part of this work canonical AR model is identi ed using software Mathematica. In this model we specify structural autoregresion according to the graphical models methodology. A time series of exchange rates was processed. It is together with program included on the enclosed CD. | en_US |
| uk.file-availability | V | |
| uk.publication.place | Praha | cs_CZ |
| uk.grantor | Univerzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.identifier.lisID | 990011740460106986 | |
