This paper examines the potential of Bitcoin, a decentralized digital currency, to pose competition to fiat currencies. To accomplish that, Bitcoin would have to become efficient as a store of value. Thus far, high volatility makes it inferior in that respect. We analyze the dynamics and drivers of Bitcoin volatility using GARCH and HAR models. Moreover, we test for presence of asymmetries displayed by stock, commodity and currency markets. That way we can conclude, whether volatility of Bitcoin behaves similarly to currencies, commodities or stocks. Lastly we reveal interconnections between these markets and market for Bitcoin. We find significant evidence for the leverage effect documented for stock market. Furthermore, the effect of trading volume, documented for currency markets, displays an opposite sign in our research. Results of spillover estimation suggest Bitcoin is the most interconnected with commodity market. Thus, we conclude Bitcoin does not behave similarly to currencies in terms of volatility; hence is not a good candidate to substitute them. JEL Classification E1, G1, G2, O3 Keywords Bitcoin, volatility, GARCH, leverage effect Author's e-mail 24805288@fsv.cuni.cz Supervisor's e-mail dedek@fsv.cuni.cz

Les universités françaises ont fait l’objet d’un ensemble de réformes qui, dans l’esprit, visent à moderniser leur gestion et leur mode de gouvernance. Ces réformes se sont traduites par la mise en place d’un ensemble de mesures notamment l’adoption de la Loi Relative aux Universités (LRU) en 2007 qui permet auxdites universités d’accéder aux Responsabilités et Compétences Elargies (RCE). Ce passage s’est accompagné de l’obligation de certification des comptes des universités par un auditeur légal dont la mission d’audit vient s’ajouter à un ensemble complexe de mécanismes de gouvernance des universités déjà en place. En conséquence, le problème qui se pose est la question de l’utilité et de l’apport potentiel d’un contrôle externe supplémentaire au sein des universités.Cette thèse a pour objectif d’examiner les facteurs d’efficience et de légitimité de la de la transformation du système de gouvernance des universités par l’introduction de l’audit légal à travers deux objectifs : d’une part, explorer les perceptions qu’ont les membres des équipes dirigeantes du rôle de l’audit légal dans la gouvernance et son impact sur la latitude managériale des présidents des universités et d’autre part, mettre en évidence l’apport potentiel de l’audit légal au système de gouvernance en place.Pour répondre à ses objectifs, nous avons opté méthodologiquement pour une approche mixte combinant les études qualitative (46 entretiens) et quantitative (113 questionnaires exploitables) réalisées auprès des équipes dirigeantes des universités. Les résultats révèlent que l’audit légal, en tant que mécanisme de gouvernance, contribue en dynamique à réduire et à renforcer la latitude managériale des dirigeants des universités, et sa dimension cognitive semble être dominante aux yeux des équipes dirigeantes des universités. Cette étude met également en évidence certaines insuffisances du système de gouvernance des universités et montre le rôle de complémentarité joué par l’audit légal. En ce sens, cette recherche contribue à une approche intégrée de la gouvernance, en examinant la complémentarité des dimensions disciplinaire et cognitive de l’audit légal au sein d’un système de gouvernance.Cette thèse montre par conséquent la contribution de l’audit légal à l’amélioration de l’efficacité du système de gouvernance des universités. / The French Universities were submitted to a pool of reforms and measures that were aiming to modernize their management and governance process. These reforms are translated by the implementation of a set of measures, especially by the adoption of the « Loi Relative aux Universités LRU » in 2007 which allows Universities to have access to the « Expanded Responsibilities and Competencies » (Responsabilités et Compétences Elargies RCE). This transition to RCE states that it’s an obligation to certificate the accounts of the University by an external auditor, whose audit mission is in addition to the existing complex governance system. Consequently, the main question is the utility and the potential contribution of a supplementary external control within the Universities.The purpose of this research is to assess the efficiency and the legitimacy factors of the transformation process in the University’s governance system by introducing the legal audit through two main objectives: firstly, exploring the management team’s perceptions of the role that the legal audit has in the governance process and its impact on the president’s managerial latitude; and secondly, highlighting the potential contribution of the legal audit to the current governance system.In order to meet the objective of the research, we have chosen a mixed methods approach by combining a qualitative (46 interviews) with a quantitative study (113 questionnaires), realized with the help of the University’s management teams. The results reveal that legal audit, as a governance mechanism, is contributing simultaneously at diminishing and reinforcing the managerial latitude of a President in an University and that the cognitive dimension appears to be prevailing in the eyes of the University’s management teams. This study highlights also certain weaknesses of the governance system in the universities and underlines the complementarity role of the legal audit. Therefore, this thesis contributes to an integrated approach of the governance by examining the complementarity between the disciplinary and the cognitive dimensions of the legal audit.In conclusion, this research illustrates the contribution of the legal audit for improving the efficiency of the governance system in the French Universities.

In today’s financial markets, volatility is a fundamental concept in regards of the risk assessment of assets and instruments. Financial volatility is commonly used to measure the quantitative aspects of risk and is given a significant amount of attention in past literature and research. The leverage effect refers to the well-established negative relationship between return and future volatility. The relation is usually explained by the increased leverage ratio that arises from a drop in the share price for a firm. A lower price means lower value of the equity and while the debt remains unchanged, the leverage ratio will rise. The leverage ratio affect how risky the equity is from an investor’s perspective, hence affects the volatility of the stock. This paper aims to analyse whether the theory is applicable on the Swedish stock exchange and takes both individual stocks and the OMXS30-index into account. Further theories related to the model is acknowledged in order to enhance the analysis of the findings. The study is performed by a regression model where volatility, estimated through an EGARCH model, represents the dependent variable. Lagged return, together with a number of control variables, constitutes the explanatory variables. The findings claims that the leverage effect is present for individual stocks but can be rejected on the index level. Additionally, significant improvement was noticed when a dynamic approach was added to the model. The conclusions drawn is that the Swedish stock exchange facilitates the leverage effect for individual firms but it is off-set by other theories such as risk-return trade-off and volatility clustering for the index. / I dagens finansiella marknader är volatilitet ett fundamentalt koncept som är ytterst relevant i risk bedömningen av tillgångar och instrument. Finansiell volatilitet används ofta för att mäta risk i kvantitativ form och har på senare tiden uppmärksammats i allt större utsträckning. Leverage effekten (en.”the leverage effect”) refererar till det! väletablerade negativa samband som finns mellan avkastning i nuvarande period och framtida volatilitet. Sambandet mellan dessa faktorer har av många förklarats av en ökning i skuldsättningsgraden för ett företag. Skuldsättningsgraden ökar enligt teorin som en konsekvens av att aktiekursen sjunker, innebärande en värdeminskning av det egna kapitalet, samtidigt som skulderna förblir oförändrade. Skuldsättningsgraden påverkar i sin tur aktiens volatilitet genom en uppfattning av hur stor risk som kan förknippas med en investering i aktien. För att stärka analysen diskuteras, förutom leverage effekten, ett antal teorier som kan relateras till modellen. Uppsatsen syfte är att avgöra om leverage effekten är signifikant applicerbar på den svenska aktiemarknaden, både för individuella aktier samt OMXS30 indexet. Studien utförs genom en regressions modell där volatiliteten, estimerad genom en EGARCH model, representerar den beroende variabeln. Avkastningen i föregående period samt ett antal kontroll variabler utgör de oberoende variablerna. Resultatet visar att leverage effekten har stor applicerbarhet på de individuella aktierna men kan uteslutas på en index nivå. Dessutom ökar relevansen signifikant när en dynamisk angreppsätt adderades till modellen. Slutsatsen är att leverage effekten är närvarande på en individuell nivå men neutraliseras av teorier så som ”risk return trade off” och ”volatilitets klustring” på index nivå.

The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. Based on data from January 2020 to June 2021, this paper studies the volatility of daily returns on the stock market in the United States. The Standard and Poor's 500 (SPX) index and eight companies traded on major exchanges such as the New York Stock Exchange and the Nasdaq are used to calculate volatility. Combining the statistical analysis methods GARCH, GARCH-M, and TARCH, the time series of each security is modeled. It is demonstrated that the conditional heteroskedasticity of stock returns depends not only on the observed historical volatility (ARCH term) but also on the conditional heteroskedasticity of prior periods (GARCH term). As expected for financial markets, the COVID-19 outbreak increased the volatility of U.S. stock market returns. After the COVID-19 outbreak, the volatility of the U.S. stock market rose dramatically. It reached an extremely high level for the first quarter of 2020 and continued to move downwards in the following quarters. The significant heteroskedasticity in the return volatility indicates that external variables significantly affect the stock. Furthermore, this study combines the Capital Asset Pricing Model (CAPM) and the research of Engle et al. (1987), which provides a way to quantify the liquidity premium. However, with the results of the GARCH-M model, this study does not find a significant liquidity premium over time. Additionally, The TARCH model reveals a significant asymmetry in stock market returns during this epidemic, suggesting that negative news has a more substantial impact on U.S. financial markets. For investors and financial institutions, this research helps identify potential volatility in the face of similar risk events. It is helpful for investors to comprehensively consider various factors when investing in special periods or consider other investment portfolios to reduce investment risks in specific periods based on research results.

Dans un contexte de réforme générale des politiques publiques et d’adaptation de l’outil de Défense aux nouvelles contraintes géostratégiques, Les friches militaires sont de plus en plus nombreuses.Alors que la ville, autrefois gourmande d’espace foncier sur ses franges, s’efforce aujourd’hui de rationnaliser la trame urbaine dans une logique de développement durable, elle s’intéresse davantage à ses espaces délaissés et tente de mettre en place une logique de reconversion qui puisse s’appliquer toutes ces friches, quelle que soit la nature de leurs activités initiales. Parmi ces sites en attente de reconversion, les fiches militaires urbaines pourraient offrir de réelles opportunités dans le cadre de r requalification et ainsi participer au renouvellement urbain.L’objectif de ce travail est double : il s’agit d’envisager dans quelle mesure la friche militaire urbaine peut être banalisée dès lors que son activité initiale a cessé. Ensuite, à la lecture des résultats de la reconversion dans le cadre d’un quatrième temps de la friche, il s’agit déterminer si la requalification d’une friche militaire urbaine peut avoir un effet levier pour une ville ou une région.Cinq terrains d’étude sont analysés afin de répondre à ces questions / In a context of general reform of public policies and of adaptation of the tool of Defence to new geostrategical pressures, Military brownfields are growing.In the past, the city used easily the land space on its fringes. While it is today trying to rationalize the urban network in the frame of sustainable development, it is more interested in its derelict lands and it tries to set up a logic of urban regeneration which could be applied to all these wastelands, whatever is the nature of their initial activities. Among these waiting of renewal sites, the urban military wastelands could give real opportunities as part of regeneration and so participate to the urban renewal.The objective of this thesis is twofold: It is to consider how the military urban brownfields can be unmarked since their initial activity has ceased. Then, by reading the results of the regeneration with the fourth time of wastelands, it is about to determine if the regeneration of an urban military brownfields can have a leverage effect for a city or region.Five study sites are analyzed to answer these questions

We consider tail empirical processes for long memory stochastic volatility models with heavy tails and leverage. We show a dichotomous behaviour for the tail empirical process with fixed levels, according to the interplay between the long memory parameter and the tail index; leverage does not play a role. On the other hand, the tail empirical process with random levels is not affected by either long memory or leverage. The tail empirical process with random levels is used to construct a family of estimators of the tail index, including the famous Hill estimator and harmonic moment estimators. The limiting behaviour of these estimators is not affected by either long memory or leverage. Furthermore, we consider estimators of risk measures such as Value-at-Risk and Expected Shortfall. In these cases, the limiting behaviour is affected by long memory, but it is not affected by leverage. The theoretical results are illustrated by simulation studies.

On étudie certaines propriétés d'une classe de processus aléatoires réels à temps continu, les marches aléatoires multifractales. Une particularité remarquable de ces processus tient en leur propriété d'autosimilarité : la loi du processus à petite échelle est identique à celle à grande échelle moyennant un facteur aléatoire multiplicatif indépendant du processus. La première partie de la thèse se consacre à la question de la convergence du moment empirique de l'accroissement du processus dans une asymptotique assez générale, où le pas de l'accroissement peut tendre vers zéro en même temps que l'horizon d'observation tend vers l'infini. La deuxième partie propose une famille de tests non-paramétriques qui distinguent entre marches aléatoires multifractales et semi-martingales d'Itô. Après avoir montré la consistance de ces tests, on étudie leur comportement sur des données simulées. On construit dans la troisième partie un processus de marche aléatoire multifractale asymétrique tel que l'accroissement passé soit négativement corrélé avec le carré de l'accroissement futur. Ce type d'effet levier est notamment observé sur les prix d'actions et d'indices financiers. On compare les propriétés empiriques du processus obtenu avec des données réelles. La quatrième partie concerne l'estimation des paramètres du processus. On commence par montrer que sous certaines conditions, deux des trois paramètres ne peuvent être estimés. On étudie ensuite les performances théoriques et empiriques de différents estimateurs du troisième paramètre, le coefficient d'intermittence, dans un cas gaussien / We study some properties of a class of real-valued, continuous-time random processes, namely multifractal random walks. A striking feature of these processes lie in their scaling property : the distribution of the process at small scale is the same as the distribution at large scale, given some random multiplicative factor independent of the process. The first part of the dissertation deals with the convergence of the empirical moment of the increment of the process in a rather general asymptotic setting where the step of the increment may go to zero while the observation horizon may also go to infinity. In the second part, we propose a family of nonparametric tests that separate multifractal random walks from Itô semi-martingales. After showing the consistency of these tests, we study their behavior on simulations.In the third part, we build a skewed multifractal random walk process, such that the past increment is negatively correlated with the future squared increment. Such a "leverage effect" is notably seen on financial stock and index prices. We compare the empirical properties of this process with real data. The fourth part deals with the parametric estimation of the process. We first show that under certain conditions, one can not estimate two of the three parameters, even if the sample path is continuously observed on some interval. We next study the theoretical and empirical performances of some estimators of the third parameter, the intermittency coefficient, in a Gaussian case

This thesis focuses on analysis and comparison of volatility on selected European stock markets. At first paper briefly introduces the reader to the specific features of financial econometrics and the importance of asset returns volatility analysis. Further chapters precisely cover the construction of linear and nonlinear conditional heteroscedasticity models as an appropriate tool for describing the volatility in financial data. The empirical part of the thesis analyze four stock exchange indices from various European regions and seek appropriate models to express volatility behavior in period before the financial crisis in 2008 and also during the crisis phase. Based on selected models, the paper tries to compare the volatility in both periods within the specific stock market index and moreover between different regions. The last section examines asymmetric effects in volatility of stock indices using their graphical representation.

Purpose: The thesis purpose is to, with regards to relevant theories, explain how the variables industry affiliation, growth, uniqueness and tangiability affect modern, swedish firms capital structure. Method: A quantitative method along with a deductive approach has been used to make this study. Multiple regression analysis has been applied in order to identify statistical relationships between various variables. Conclusion: The empirical results can only to a certain degree confirm what the theories are claiming. The statistical relationship the growth, profitability, uniqueness in a firm has with leverage is negative. Moreover, tangibility turned out to have a positive relationship to leverage, which coincides with said theories. / Syfte: Uppsatsens syfte är att utifrån relevanta teorier förklara hur variablerna lönsamhet, branschtillhörighet, tillväxt, unikhet och tillgångsstruktur påverkar svenska bolags kapitalstruktur. Metod: En kvantitativ metod med deduktiv ansats har använts för att möjliggöra denna studie. Multipel regressionsanalys har tillämpats för att statistiskt kunna identifiera samband mellan olika variabler. Slutsats: Resultatet stämmer nästan genomgående med teoriernas antaganden. Sambandet mellan tillväxt, lönsamhet, unikhet mot skuldsättningen är negativt. Det visade sig dessutom att det finns ett positivt samband mellan tillgångsstruktur och skuldsättningsgrad, vilket stämmer med vad teorierna hävdar.

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