03259ntm a22005537i 4500 000531542 CZ-PrVSE 20170621180704.0 m d cr n|||||||||| 170621s2017 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Ševčík, Martin ISIS:114630 dis Modely dynamické podmíněné korelace a jejich aplikace při mitigaci rizika portfolia eng Dynamic conditional correlation models and their application to portfolio risk mitigation / Martin Ševčík 2017 ?? stran : digital, PDF soubor Vedoucí práce: Lukáš Frýd Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2017 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2017 This bachelor thesis investigates asymmetry in returns of corn, gold and crude oil (both spot and futures) and hedging effectiveness of these commodities when employing DCC family models for hedge ratio estimation. The asymmetry in conditional variances was found to be significant only in case of crude oil spot and futures returns and asymmetry in conditional correlation of spot and futures returns was not shown to be significant in neither of the investigated commodities. With respect to the hedging performance, we conclude that differences in hedging performance measured by hedging effectiveness index are negligible and thus do not support superiority of DCC family models over OLS, which served as a benchmark. Historical Value at Risk, on the contrary, identified the DCC with asymmetry in conditional variance (despite asymmetry not being significant) to be appropriate for corn hedging, however not for the other two commodities, where the OLS based hedge ratio performed similarly or even better than the DCC family models. The main contribution of the thesis thus lays in empirical investigation of asymmetry in returns of selected commodities and testing hedging potential of DCC family based hedge ratio. Způsob přístupu: Internet finance [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas HE index ADCC DCC VaR Hedge ratio OLS GARCH GJR GARCH Frýd, Lukáš ISIS:78722 ths Nevrla, Matěj opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/61341/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/61341 Hlavní práce https://insis.vse.cz/zp/61341/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/61341/posudek/oponent/53694 Oponentura https://insis.vse.cz/zp/61341/podrobnosti dc:identifier NEPOSILAT VSKP vse61341 170615 61341