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Modely časových řad s exogenními proměnnými a jejich aplikace na ekonomická data / Time series models with exogenous variables and their application to economical data

This thesis deals with analyzing multivariate financial and economical data. The first section describes the theory of multivariate time series and multivariate ARMA models. The second part deals with some models with exogenous variables such as simultaneous equations models and ARMAX model. In the final chapter, the described theory is applied to analyze the reciprocal dependence of time series of inflation rates and dependence of inflation rates on various macroeconomical indicators. The results were obtained by software Mathematica 8, Mathematica 10, EViews and R. Powered by TCPDF (www.tcpdf.org)

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:336217
Date January 2015
CreatorsVaverová, Jana
ContributorsZichová, Jitka, Cipra, Tomáš
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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