02966ntm a22005177a 4500 000260505 CZ-PrVSE 20140622182146.0 m d cr n|||||||||| 140622s2014 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Kučera, Adam ISIS:81786 dis Modelování dynamiky úrokových sazeb eng Interest Rate Modelling and Forecasting [elektronický zdroj] : Macro-Finance Approach / Adam Kučera 2014 ?? s. : digital, PDF soubor Vedoucí práce: Jiří Witzany Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2014 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2014 The thesis compares various approaches to the term structure of interest rates modelling. Several models are built, following two general frameworks: a dynamic Nelson-Siegel approach and an affine class of models. Based on an evaluation of dynamic properties of the estimated models, particularly in terms of impulse-responses and a forecasting performance, effects of an explicit inclusion of macroeconomic variables into the models are tested. The thesis shows, that the benefit of such macro-finance extension of the models is varying in time, and also differs for both approaches. However, it is shown that the models can be considered as complementary, as the particular approaches are differently useful under various macroeconomic conditions and financial markets situations. Moreover, unusually long maturities are included into the term structure of interest rates, and some of the models are shown to be able to forecast these maturities as well, particularly in certain periods of time. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Affine Model Macro-Finance Model Yield Curve Interest Rate Nelson-Siegel Witzany, Jiří, 1966- vse2007429830 ths Kolman, Marek vse2015859792 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/43263/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/43263 Hlavní práce https://isis.vse.cz/zp/43263/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/43263/posudek/oponent/38221 Oponentura http://isis.vse.cz/zp/133716/podrobnosti dc:identifier NEPOSILAT VSKP 133716 vse43263 140619