Model CAPM je považován za základní model při oceňování systematického risku aktiv a jeho provázanosti s výnosností trhu. Tato práce využívá této struktury a použitím různých metod, mezi které patří OLS, DCC MGARCH a SSF modelovaní, se snaží najít nejvhodnější metodu z výše zmíněných, která dokáže nejlépe odhadnout koeficienty systematického risku. Tyto koeficienty jsou dále použity pro zajištění rizika portfolií, které jsou vytvořeny z akcií obchodovaných na různých burzách- NYSE Composite a NASDAQ Composite. Na základě obdržených výsledků o výkonu zajištění rizika v každém portfoliu budeme schopni vyhodnotit, která z metod je nejvhodnější pro odhad systematické risku v modelu CAPM. Klíčová slova: CAPM, Systematický risk, Portfolio risk hedge, OLS, DCC MGARCH, SSF model JEL Classification: C22, C58, G11, G12, G15 Author's e-mail: danielsopov@email.cz Supervisor's e-mail: andrlikova@gmail.com

Submitted by Morgana Silva (morgana_linhares@yahoo.com.br) on 2016-06-29T19:29:16Z No. of bitstreams: 1 arquivototal.pdf: 2567247 bytes, checksum: 1b69ea69689d98843e4c8b25dbf6e8f6 (MD5) / Made available in DSpace on 2016-06-29T19:29:16Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 2567247 bytes, checksum: 1b69ea69689d98843e4c8b25dbf6e8f6 (MD5) Previous issue date: 2015-08-28 / The present essay studied the conceptual, innovative, market-oriented and qualitative aspects of Bitcoin. After the exposure of the key concepts about the Bitcoin, digital currency and currency, there is a contextualization of the Bitcoin as a financial innovation. In regards to the innovative aspects, the birth of Bitcoin represented a radical and paradigmatic innovation with potential of creating a creative destruction. The most modern concepts of the Innovation Theory are also exposed and so it is perceived that the Bitcoin exhibits characteristics of Disruptive Innovation (DI) of two kinds: Low and (DI) and New Market (DI). In regards to the market-oriented and structural aspects it was investigated the existence of similarities between the credit and debit market of Bitcoin and the traditional structure of the payment card's market (two sided market - 2SM). It was verified the adequacy of Bitcoin to the 2SM structure, but only on the debit card's market. The credit system of the Bitcoin market does not fit to the one of the traditional system. This work sought to understand the volatility of determinants of the Bitcoin prices. To attain this objective two different kinds of analysis were made: univariate and multivariate analysis. To estimate the univariate volatility the following models were plotted: ARCH, GARCH, EGARCH and TARCH whose results showed the existence of persistent volatility. The multivariate quantitative analysis aimed to understand the volatilities interaction between Bitcoin the other financial variables. It was applied the DCC M-GARCH methodology which allows the achievement of the statistical parameters using the quasi-correlation of the volatility. The results showed the existence of ARCH and GARCH effects in all cases. While the explanatory variables don't indicate any significance, the multivariate analysis of the subsample realize a convergence movement of the variables. In all cases it was considered the return toward the mean. All models were estimated for a sample considering the period between September 13th of 2011 and June 23th of 2015 and for a subsample that covers the period from March 10th of 2013. / A presente dissertação realizou uma análise sobre aspectos conceituais, inovativos, mercadológicos e quantitativos do Bitcoin. Após expostos conceitos basilares sobre o Bitcoin, moedas digitais e moeda buscou-se contextualizar o Bitcoin como inovação financeira. Com relação aos aspectos inovativos o surgimento do Bitcoin representou uma inovação radical e pré-paradigmática com potencial de destruição criativa. Também foram expostos os conceitos mais modernos da teoria da inovação e percebeu-se que o Bitcoin apresenta características de Inovação Disruptiva (ID) de dois tipos: Low and (ID) e New Market (ID). Quanto aos aspectos mercadológicos e estruturais foi investigada a existência de semelhanças entre o mercado de crédito e débito do Bitcoin e a estrutura tradicional do mercado de cartões conhecida por Mercado de Dois Lados (M2L). Verificou-se a perfeita adequação do Bitcoin à estrutura M2L, mas apenas no mercado de cartões de débito. O sistema de crédito existente no mercado do Bitcoin não se conforma da maneira tradicional. Buscou-se também compreender os determinantes da volatilidade dos preços do Bitcoin. Para atingir este objetivo foram realizados dois tipos de análises: univariadas e multivariadas. Para estimar a volatilidade univariada foram estimados os modelos ARCH, GARCH, EGARCH e TARCH cujos resultados apontaram existência de volatilidade persistente. Já análise quantitativa multivariada apresentou o objetivo de compreender a interação das volatilidades entre o Bitcoin e outras variáveis financeiras. Foi aplicada a metodologia DCC M-GARCH que possibilita a obtenção dos parâmetros por meio das quasicorrelações da volatilidade. Os resultados apontaram a existência dos efeitos ARCH e GARCH em todos os casos. Embora as variáveis explicativas não apontem significância a análise multivariada da subamostra aparentemente realiza movimento de convergência. Em todos os casos foram considerados os retornos das séries. Todos os modelos foram estimados para a amostra considerando o período de 13 de Setembro de 2011 e 23 de Junho de 2015 e para uma subamostra que abrange o período a partir de 10 de Março de 2013.

This master thesis deals with the modeling of multivariate volatility in finan- cial time series. The aim of this work is to describe in detail selected approaches to modeling multivariate financial volatility, including verification of models, and then apply them in an empirical study of asset portfolio optimization. The results are compared with the classical approach of portfolio optimization theory based on unconditional moment estimates. The evaluation was based on four known op- timization problems, namely minimization of variance, Markowitz's model, ma- ximization of the Sharpe ratio and minimization of CVaR. The output portfolios were compared by using four metrics that reflect the returns and risks of the port- folios. The results demonstrated that employing the multivariate volatility models one obtains higher expected returns with less expected risk when comparing with the classical approach. 1

No description available.

Multivariate volatility models, such as DCC MGARCH, are estimated under assumption of multivariate normal distribution of random variables, while this assumption have been rejected by empirical evidence. Therefore, the estimated conditional correlation may not explain the whole dependence structure, since under non-normality the linear correlation is only one of the dependency measures. The aim of this thesis is to employ a copula function to the DCC MGARCH model, as copulas are able to link non-normal marginal distributions to create corresponding multivariate joint distribution. The copula-based MGARCH model with uncorrelated dependent errors permits to model conditional cor- relation by DCC-MGARCH and dependence by the copula function, sepa- rately and simultaneously. In other words the model aims to explain addi- tional dependence not captured by traditional DCC MGARCH model due to assumption of normality. In the empirical analysis we apply the model on datasets consisting primarily of stocks of the PX Index and on the pair of S&P500 and NASDAQ100 in order to compare the copula-based MGARCH model to traditional DCC MGARCH in terms of capturing the dependency structure. 1

The aim of this thesis is to assess the effect of ECB's communication on financial market co- movements between Italy, Spain, Germany and France using MGARCH family of models. Author addresses partially the potential problem of endogeneity of central bank communication by using Composite indicator of systemic stress and excess liquidity. The author estimates the impact of ECB's communication on correlations of government bond yield changes using daily data from 2008 to 2014. For this purpose author employs bivariate diagonal BEKK(1,1) and bivariate scalar BEKK(1,1) with surprises of macroeconomic announcements under control. The results are consistent and robust for all models, the results suggest that communication does not have statistically significant effect on financial market correlations in the Euro area. Furthermore, author defines delta functions which describe and quantify the immediate and full effect of explanatory variables on conditional correlations in bivariate diagonal BEKK(1,1) and bivariate scalar BEKK(1,1). To the best of author's knowledge this thesis is the only one in the literature which examines this effect of ECB's communication by MGARCH models. Keywords: Financial markets, central bank communication, correlation, MGARCH, BEKK Author's e-mail: milankucera1@seznam.cz...

This study examines to what extent how oil movements differently affect equity returns in general and sectoral levels of the GCC countries stock markets. Modeling the equity returns volatility requires using GARCH-type models. These models help to explore the pronounced differences of the conditional variance structures across sectors and markets. Chapter 1 compares the effects of changes in oil price return and its volatility on equity returns and volatility across sectors. The findings of this chapter show that despite the GCC states dependency on oil revenues, equity market performance at the sectoral level do not exactly associate with oil movements. Our results, in particular, show that the GCC stock markets do not always move hand-in-hand with oil market movements. In chapter 2, we explore the relationship within a specific sector, i.e. Banks sector in Saudi Arabia Stock market. We examine if oil price changes affect Islamic banks differently than conventional ones. The findings show a decrease in degree of co-movement between these two types of banking system and oil market, meaning that they are less integrated. Although the Islamic banks kept a higher degree of co-movement with oil, limitations of Shari'ah restrictions on Islamic banks have little impact on the relationship between oil and those banks. Chapter 3 examines whether the level of corruption influences how oil changes affect the GCC stock markets. The findings of chapter 3 show that dissimilar levels of corruption between GCC countries have inconsiderable differences on the oil return effects on the GCC stock markets. Oil returns affect both low and high level of corruption groups. The oil return innovation affects the equity volatility for Saudi Arabia and Kuwait more than other four GCC countries.

Submitted by Silvania Ribas (silvania@mackenzie.br) on 2018-04-12T15:02:27Z No. of bitstreams: 1 LUCAS MOREIRA VILLELA.pdf: 1800574 bytes, checksum: b56cda5494345eaee69d460f9e418ce5 (MD5) / Rejected by Paola Damato (repositorio@mackenzie.br), reason: Assuntos em cx alta on 2018-05-04T11:56:47Z (GMT) / Submitted by Silvania Ribas (silvania@mackenzie.br) on 2018-05-30T14:55:04Z No. of bitstreams: 1 LUCAS MOREIRA VILLELA.pdf: 1800574 bytes, checksum: b56cda5494345eaee69d460f9e418ce5 (MD5) / Approved for entry into archive by Paola Damato (repositorio@mackenzie.br) on 2018-06-08T20:50:58Z (GMT) No. of bitstreams: 1 LUCAS MOREIRA VILLELA.pdf: 1800574 bytes, checksum: b56cda5494345eaee69d460f9e418ce5 (MD5) / Made available in DSpace on 2018-06-08T20:50:58Z (GMT). No. of bitstreams: 1 LUCAS MOREIRA VILLELA.pdf: 1800574 bytes, checksum: b56cda5494345eaee69d460f9e418ce5 (MD5) Previous issue date: 2017-06-12 / This study tests the uncovered interest rate parity between the Brazilian and American markets during the period of June 1986 to August 2016. The validation of the uncovered parity condition implies efficiency between markets. The condition is tested through the VECM methodology proposed in Engle and Granger (1987) utilizing the cointegrating vector testing the uncovered parity on the long term. The Multivariate GARCH model proposed by Bollerslev, Engle and Wooldridge (1988) is used, modeling not only the mean but the variance of the model’s variables, that way controlling the ARCH (autoregressive conditional heteroscedastic) effect in financial series. The variances of the variables are estimated through the Realized Variance estimator, first proposed in Andersen and Bollerslev (1998), in which the authors show it to be a consistent estimate of the integrated variance of a given process. The results validate the uncovered interest parity, showing it to be valid as a long-term equilibrium and that any deviation is corrected in the long term through the exchange rate between Brazil and the United States. / Este estudo propõe-se a testar a condição da paridade descoberta de juros, entre os mercados do Brasil e do Estados Unidos, para o período de Junho de 1986 a Agosto de 2016. A comprovação da condição descoberta implica em eficiência entre os mercados brasileiro e americano. A condição é testada por meio da metodologia de VECM proposta em Engle e Granger (1987) utilizando-se do vetor de cointegração para testar a condição no longo prazo. O modelo de GARCH Multivariado proposto por Bollerslev, Engle e Wooldridge (1988) é utilizado, modelando não só a média das variáveis em questão, mas, também sua variância para controlar o efeito ARCH (autoregressive conditional heteroscedastic) em series financeiras. As variâncias das series são estimadas por meio do estimador de Volatilidade Realizada, proposto em Andersen e Bollerslev (1998), que gera uma estimativa consistente da variância integrada de um processo. Os resultados do modelo comprovam a condição descoberta da paridade de juros, mostrando que essa é válida no longo prazo e que desequilíbrios na condição são corrigidos no longo prazo por meio do câmbio entre o Brasil e Estados Unidos.

No description available.

Face à l’instabilité des cours agricoles et à ses conséquences notamment pour les pays en développement, la première partie de cette thèse est consacrée à la présentation des déterminants des cours des matières premières alimentaires, incluant les évolutions récentes en matière d’offre, en tenant compte des conséquences du réchauffement climatique, et de demande, considérant notamment les biocarburants. Il est également question de présenter la financiarisation en cours des économies, et les doutes qui planent sur le rôle que peuvent avoir la spéculation sur les marchés à terme ou encore la mise en œuvre des politiques monétaires, sur les cours au comptant observés sur les marchés physiques des produits agricoles. Suite aux réflexions et éléments de littérature avancés, la seconde partie procède de deux études empiriques. La première est axée sur l’impact de la spéculation sur les marchés financiers à terme sur le cours des sous-jacents (agricoles), alors que la seconde questionne le rôle des marchés monétaires, abordé à travers la capacité du banquier central à stabiliser les taux d’intérêt à court terme. Sur cette base, des conclusions mais également des pistes de recherche sont établies, du fait du prolongement en cours du processus de financiarisation des économies. / Faced with instability of agricultural commodities’ prices and its consequences especially for developing countries, the first part of this thesis is devoted to the presentation of food commodities’ prices, including recent developments with respect to the offering, taking into account the consequences of global warming and demand, as well as the importance of biofuels. It is also question to present the financialization of economies, and the doubts that take over the role of speculation on the futures markets or the implementation of monetary policies, on the spot prices observed on physical agricultural commodities markets. Following the advanced literature reflections and elements, the second part proceeds of two empirical studies, the first one focused on the impact of speculation about the financial futures markets on the underlying asset’s price (agricultural), while the second one examines the role of money markets through the capacities of the central banker to stabilize short-term interest rates. On this basis, conclusions but also future research are established due to the continuation of the economies financialization process.