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Institute of Information Theory and Automation
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Projects
Dept.: E
Duration: 2014
- 2016
The project focuses on analysis of financial time series in a framework of bivariate long memory with a special attention on power-law decaying cross-correlation function and its implications for dynamic properties of such processes. The first target is to use these implications for construction of statistical tests to distinguish between short and long memory. The second aim is to explore the...
Dept.: E
Duration: 2013
- 2015
The project deals with modelling of options implied volatility where the implied volatility is considered as a function of strike
price and time to maturity. We focus on arbitrage-free techniques where the strike arbitrage-free condition is expressed in
terms of state-price-density while the calendar arbitrage-free condition is based on the monotony of total (implied) variance.
Various...
Dept.: E
Duration: 2013
- 2015
The project will theoretically and empirically investigate the effects that systemic, mostly supranational financial shocks and
policy responses (local and global) to these shocks have on behavior, economic performance and welfare of the private sector in
open economies. We want to contribute to answering the following questions:
(a) What type of economic integration, i.e. through trade,...
Dept.: E
Duration: 2013
- 2015
Economic and financial activities are often influenced simultaneously by a decision and random factors. Since the decision parameter must be constructed mostly without knowledge of a random element realization, an optimization problem depending on a probability measure corresponds to this situation. Usually in applications this measure must be replaced by an empirical one. The aim of the proposed...
Dept.: E
Duration: 2013
- 2015
The project focuses on studying multivariate time-frequency dynamics of financial markets using spectral methods. First target is to formulate new spectral-based realized measure of variance and covariance using wavelets, which will be applied to measure the integrated volatililty and covolatility under the various types of dependent microstructure noise. The newly proposed estimators will also...
Dept.: E
Duration: 2012
- 2018
The main objective project is to establish a new research platform, called Dynamic Models in Economics; abbreviated DYME.
The platform should link Czech exellence with support for advanced research in the mathematical models of economics.
Dept.: E
Duration: 2011
- 2013
The aim of the proposed grant project is to amplify results obtained in the previous projects (especially project 402/05/0115 evaluated as excellent, and the current project 402/08/0107). Attention will be primarily focused on various approaches for description of the system dynamics, long decision horizons in multistage stochastic programming problems and their connections with dynamic...
Dept.: E
Duration: 2010
- 2012
Dept.: E
Duration: 2010
- 2012
Dept.: E
Duration: 2009
- 2013
The proposed research is aimed to contribute to understanding the factors influencing prices on financial markets. We plan to focus to changes in the fundamentals of financial assets, speculation, market sentiments and various shocks like unexpected changes of interest rates, policies, or criminal activities resulting in short-term fluctuations and even long-term swings between the periods of...
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