Ekonomická revue. 2009, roč. 12
Permanent URI for this collectionhttp://hdl.handle.net/10084/90289
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Item type: Item , Comparison of different copula assumptions and their application in portfolio construction(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Štulajter, FrantišekThe paper deals with modeling of mutual dependencies among financial assets. Its aim is to investigate the impact of different copula assumptions on optimal portfolios, when CVaR optimization is used. Strategic asset allocation perspective is supposed. It is demonstrated that copula functions enable us to separate the modeling of dependency features of financial assets from the modeling of marginal distribution characteristics, in the context of practical portfolio construction tasks. The difference between portfolios constructed using normal copula and student t copula is shown when mutual or pension fund exposed to long-only constrain is assumed. The fund is considered to invest solely into equity and fixed-income instruments. As expected, the exclusive use of linear correlation coefficients leads to underestimation of total portfolio risk. The superiority of student t copula portfolios intensifies as the confidence level of CVaR rises and/or as the CVaR target increases.Item type: Item , Self exciting threshold auto-regressive approach for non-linear modeling of daily electricity prices in the selected regions(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Čulík, Miroslav; Valecký, JiříThis paper is focused on the electricity market and electricity prices. The electricity sector is one of the key strategic sectors of every economy and knowledge of demand, supply and prices is very important. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated models for the purposes of their modeling. The goal of this paper is to propose the empirical model for modeling daily electricity prices in three selected regions (California, North Europe and Austria). To exploit non-linearity, we apply the SETAR (Self Exciting Threshold Auto-Regressive) models that imply and distinct regimes in time series dynamics with potentially different parameters (and thus dynamics properties) of each regime. First, the most appropriate SETAR model for modeling electricity prices at selected markets is developed; next, statistical verification of each model is performed in accordance with Hansen (1997, 2000); finally, it is verified whether the proposed non-linear models give satisfactory results in the sense of data fitting and diagnostic checks.Item type: Item , Statistical and RBF NN models : providing forecasts and risk assessment(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Marček, MilanForecast accuracy of economic and financial processes is a popular measure for quantifying the risk in decision making. In this paper, we develop forecasting models based on statistical (stochastic) methods, sometimes called hard computing, and on a soft method using granular computing. We consider the accuracy of forecasting models as a measure for risk evaluation. It is found that the risk estimation process based on soft methods is simplified and less critical to the question whether the data is true crisp or white noise.Item type: Item , Does a reflection of the fiscal discipline requirement exist during the euro implementation on tax systems?(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Široký, JanWhile previous states of the EU-15 could decide if they would accept the common European currency or not, newly entering states are committed to accepting the EUR. The first country that accepted the EUR (apart from the EU-15, of which 12 countries have the common currency) was Slovenia (2007), and afterwards Cyprus and Malta (2008), and from 1.1.2009 the EU was joined by Slovakia. Countries have to fulfill defined criteria to enter the EU, so it can be assumed that there are indirect but doubtless interconnections: taxes state budget revenues state budget balances Maastricht criteria accomplishment (before the country enters the euro zone), or fulfilling the Stability and Growth Pact. The aim of this paper is to evaluate the possible influence of EUR implementation on tax systems in the selected countries. The author deals with the evaluation of EUR implementation consequences in the first 12 countries by means of a macro-economic characteristic analysis in the first part of the paper, and in the second part offers more detailed analyses of Slovenia, Cyprus, and Malta.Item type: Item , Eco-linkages and an optimal portfolio of resources : a step towards sustainable development(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Minulescu, AndreiaIndustrial ecology has been promoted as a possible method to reach sustainability, by redesigning industry as an organisms-like community of companies, in order to increase materials and energy efficiency. A common direction has been mainly focused on the end of the production process, while the concern of the portfolio of resources involved in the manufacturing process has been limited. This paper evaluates and presents the implications of developing eco-linkages supported by a portfolio designed using the DNP method. The author argues that the new approach can deliver significant benefits to economic players in terms of profits/added value and environmental protection. In this context, sustainability becomes good business, while pollution means lost money.Item type: Item , Komparace nákladů na realizaci IPO na vybraných akciových trzích(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Meluzín, TomášItem type: Item , Způsoby komunikace obcí s občany v Moravskoslezském kraji : preference ze strany vybrané velikostní kategorie obcí(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Vaňková, IvanaItem type: Item , The information content of stock dividend announcements : evidence from Sri Lanka(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Pathirawasam, ChandrapalaThis study examines the market reaction to Sri Lankan stock dividends from 1998 to 2007 using the event analysis methodology. The positive abnormal returns in Sri Lanka (Colombo Stock Exchange) are much higher than any other international findings on the announcement day. Even after controlling the contaminated information, abnormal returns for pure stock dividends are positively significant on the announcement day. Further, announcement day abnormal returns are positively related with the size of the stock dividend announcement. Therefore these findings, based on Colombo Stock Exchange expand the empirical evidence on the signaling hypothesis of stock dividends.Item type: Item , Analýza volatility devizových kurzů vybraných ekonomik(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Bednařík, RadekItem type: Item , Posouzení metody částečného hedgingu na případu řízení měnového rizika nefinanční instituce(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Tichý, TomášItem type: Item , Ekonomická analýza uplatnění biopaliv v podmínkách České republiky(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Hromádko, Jan; Hromádko, Jiří; Miler, Petr; Hönig, VladimírItem type: Item , Postavení minimální mzdy v mzdové distribuci podnikatelské sféry České republiky(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Lajtkepová, EvaItem type: Item , Švédský model a jeho vývojové fáze(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Tajovský, Ladislav; Tomíček, Pavel; Chalupecký, PetrItem type: Item , Analýza efektívnosti slovenských bánk využitím Stochastic Frontier Approach(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Stavárek, Daniel; Šulganová, JanaItem type: Item , Modelování propojených podnikových procesů s využitím modelu REA(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Kašík, Josef; Huňka, František; Hučka, Miroslav; Vymětal, DominikItem type: Item , Klasifikácia úžitkových funkcií podľa zmien preferencií investora(Vysoká škola báňská - Technická univerzita Ostrava, 2009) Kopa, Miloš