Menu

Research

Our extensive collection of research publications will definitely interest you. You will find many revealing studies and findings in our database. Our publications are the culmination of the company’s research initiatives and the scientific efforts of our colleagues.

Papers and studiesSupervised research and external examinations

 

Papers and studies

Impact of Size and Volume on Cryptocurrency Momentum and Reversal

Milan Fičura: Impact of Size and Volume on Cryptocurrency Momentum and Reversal. FFA Working Paper 3/2023, FFA, Prague University of Economics and Business, Prague.

Download pdf

Machine Learning Applications for the Valuation of Options on Non-liquid Option Markets

Jiří Witzany, Milan Fičura: Machine Learning Applications for the Valuation of Options on Non-liquid Option Markets. FFA Working Paper 1/2023, FFA, Prague University of Economics and Business, Prague.

Download pdf

Determinants of NMD Pass-Through Rates in Eurozone Countries

Milan Fičura, Jiří Witzany: Determinants of NMD Pass-Through Rates in Eurozone Countries. FFA Working Paper 4/2022, FFA, Prague University of Economics and Business, Prague.

Download pdf

Modeling Price Clustering in High-Frequency Prices

Vladimír Holý, Petra Tomanová: Modeling Price Clustering in High-Frequency Prices. Quantitative Finance, pages 1-15, March, 2022.

Download pdf

IFRS 9 and its Behaviour in the Cycle: The Evidence on EU Countries

Oľga Pastiranová, Jiří Witzany: IFRS 9 and its Behaviour in the Cycle: The Evidence on EU Countries. FFA Working Paper 3/2021, FFA, Prague University of Economics and Business, Prague.

Download pdf

Clustering of Arrivals in Queueing Systems: Autoregressive Conditional Duration Approach

Petra Tomanová, Vladimír Holý: Clustering of Arrivals in Queueing Systems: Autoregressive Conditional Duration Approach. Central European Journal of Operations Research, September, 2020.

Download pdf

Robustness of Dynamic Score-Driven Models Utilizing the Generalized Gamma Distribution

Petra Tomanová: Robustness of Dynamic Score-Driven Models Utilizing the Generalized Gamma Distribution. 38th International Conference on Mathematical Methods in Economics, Mendel University Brno, Faculty of Business and Economics, pages 592-598, September, 2020.

Download pdf

Risk Measures Prediction and Its Sensitivity to the Re􏰀fit Step: A Score-Driven Approach

Kateřina Nováková, Petra Tomanová: Risk Measures Prediction and Its Sensitivity to the Refit Step: A Score-Driven Approach. 38th International Conference on Mathematical Methods in Economics, Mendel University Brno, Faculty of Business and Economics, pages 403-409, September, 2020.

Download pdf

Recovery Process Optimization using Survival Regression

Jiří Witzany, Anastasiia Kozina: Recovery Process Optimization using Survival Regression. FFA Working Paper 4/2020, FFA, University of Economics, Prague.

Download pdf

Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations

Jiří Witzany: Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations.  FFA Working Paper 2/2020, FFA, Univesity of Economics, Prague.

Download pdf

Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation

Jiří Witzany, Milan Fičura: Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation. Czech Journal of Economics and Finance (Finance a úvěr), Charles University Prague, Faculty of Social Sciences, vol. 69(5), pages 1-26, October, 2019.

Download pdf

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Milan Fičura: Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies. Prague Economic Papers, University of Economics, Prague, vol. 2019(4), pages 385-401.

Download pdf

Use of Adapted Particle Filters in SVJD Models

Milan Fičura, Jiří Witzany: Use of Adapted Particle Filters in SVJD Models. European Financial and Accounting Journal, University of Economics, Prague, vol. 2018(3), pages 05-20.

Download pdf

A Bayesian Approach to Backtest Overfitting

Jiří Witzany: A Bayesian Approach to Backtest Overfitting. The 10th World Congress of the Bachelier Finance Society, Dublin, July 16-20, 2018.

Download pdf

Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators

Milan Fičura: Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators. The 10th World Congress of the Bachelier Finance Society, Dublin, July 16-20, 2018.

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Milan Fičura: Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies. University of Economics, 2017

Download pdf

Forecasting Foreign Exchange Rate Movementswith k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Milan Fičura: Forecasting Foreign Exchange Rate Movementswith k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks. University of Economics, 2017

Download pdf

Analysing Cross-Currency Basis Spreads

Jaroslav Baran, Jiří Witzany: Analysing Cross-Currency Basis Spreads. European Stability Mechanism, Working Paper Series 25, 2017.

Download pdf

A Bayesian Approach to Backtest Overfitting

Jiří Witzany: A Bayesian Approach to Backtest Overfitting. University of Economics, 2017

Download pdf

Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric methods

Milan Fičura, Jiří Witzany: Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric methods. University of Economics, 2017

Download pdf

A Copula Approach to CVA Modeling

Jakub Černý, Jiří Witzany: A Copula Approach to CVA Modeling. Charles University, University of Economics, 2015

Download pdf

Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods

Milan Fičura, Jiří Witzany: Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods. University of Economics, 2015

Download pdf

Methods for periodic and irregular time series

Tomáš Hanzák: Methods for periodic and irregular time series. Doctoral Thesis, Charles University in Prague, Faculty of Mathematics and Physics, 2014.

Download pdf

Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison

Samuel Prívara, Marek Kolman, Jiří Witzany: Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison. Czech Technical University, University of Economics, 2013

Download pdf

Interest Rate Swap Credit Value Adjustment

Jakub Černý, Jiří Witzany: Interest Rate Swap Credit Value Adjustment. Charles University, University of Economics, 2013

Download pdf

Estimating Default and Recovery Rate Correlations

Jiří Witzany: Estimating Default and Recovery Rate Correlations. University of Economics, 2013

Download pdf

Methods for volatility forecasting using realized volatilities and option market prices (in Czech)

Milan Fičura: Metody předvídání volatility s využitím realizované volatility a tržních cen opcí (in Czech; Methods for volatility forecasting using realized volatilities and option market prices). University of Economics, 2012

Download pdf

Holt-Winters method with general seasonality

Tomáš Hanzák: Holt-Winters method with general seasonality. Kybernetika, Vol. 48 (2012), No. 1, 1-15.

Download pdf

Estimating Correlated Jumps and Stochastic Volatilities

Jiří Witzany: Estimating Correlated Jumps and Stochastic Volatilities. Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague. Working Paper 35/2011.

Download pdf

Stochastic interest rates modeling (in Czech)

Jakub Černý: Stochastické modelování úrokových sazeb (in Czech; Stochastic interest rates modeling). Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2011.

Download pdf

Exponential smoothing for time series with outliers

Tomáš Cipra, Tomáš Hanzák: Exponential smoothing for time series with outliers. Kybernetika, Vol. 47 (2011), No. 2, 165-178.

Download pdf

A Comparison of EVT and Standard VaR Estimations

Jaroslav Baran, Jiří Witzany: A Comparison of EVT and Standard VaR Estimations. University of Economics, 2011

Download pdf

A Two-Factor Model for PD and LGD Correlation

Jiří Witzany: A Two-Factor Model for PD and LGD Correlation. University of Economics, 2011

Download pdf

Credit Risk Management and Modeling

Jiří Witzany: Credit Risk Management and Modeling. Oeconomica, Prague, 2010.

Download pdf

Survival Analysis in LGD Modeling

Jiří Witzany, Michal Rychnovský, Pavel Charamza: Survival Analysis in LGD Modeling. IES Working Paper 2/2010. IES FSV. Charles University.

Download pdf

Loss, Default, and Loss Given Default Modeling

Jiří Witzany: Loss, Default, and Loss Given Default Modeling. IES Working Paper 9/2009. IES FSV. Charles University.

Download pdf

Estimating LGD Correlation

Jiří Witzany: Estimating LGD Correlation. University of Economics, 2009

Download pdf

Exponential Smoothing for Irregular Time Series (in Czech)

Tomáš Hanzák: Exponenciální vyrovnávání pro nepravidené časové řady (in Czech; Exponential Smoothing for Irregular Time Series). Robust, 2008.

Download pdf

Improved Holt Method for Irregular Time Series

Tomáš Hanzák: Improved Holt Method for Irregular Time Series. WDS’08 Proceedings of Contributed Papers, Part I, 62–67, 2008.

Download pdf

Exponential smoothing for irregular time series

Tomáš Cipra, Tomáš Hanzák: Exponential smoothing for irregular time series. Kybernetika, Vol. 44 (2008), Number 3 , pp. 385–399.

Download pdf

Basel II Capital Requirement Sensitivity to the Definition of Default

Jiří Witzany: Basel II Capital Requirement Sensitivity to the Definition of Default. Prague, Oeconomica, 2008

Download pdf

Valuation of Convexity Related Derivatives

Jiří Witzany: Valuation of Convexity Related Derivatives. IES Working Paper 4/2008. IES FSV. Charles University.

Download pdf

Statistical errors in survey sampling estimation methods (in Czech)

Martin Andìl, Rostislav Èerný, Pavel Charamza, Jan Neustadt: Přehled metod odhadu statistické chyby ve výběrových šetřeních (in Czech; Statistical errors in survey sampling estimation methods). Published in yearbook Statistika ČSÚ, 2005

Download pdf

Seigniorage in Continuous Time (in Czech)

Petr Mach, Tomáš Hanzák: Ražebné ve spojitém case (in Czech; Seigniorage in Continuous Time). Published in Politická ekonomie magazine, 2004

Download pdf

Gibbsian process of convex grains

Rostislav Černý: Gibbsian process of convex grains. Charles University, Prague Faculty of Mathematics and Physics, 2003

Download pdf

Supervised research and external examinations

Logistic Regression Improvements for Credit scoring development

Nikolai Pravdin: Logistic Regression Improvements for Credit scoring development. Master Thesis. University of Economics and Business in Prague, Faculty of Finance and Accounting, 2022. (Supervised by Jiří Witzany)

Download pdf

Dynamic Portfolio Optimization During Economic Recession

Matúš Porázik: Dynamic Portfolio Optimization During Economic Recession. Master Thesis. University of Economics and Business in Prague, Faculty of Informatics and Statistics, 2021. (Supervised by Petra Tomanová)

Download pdf

Artificial Neural Networks in Space of Stock Returns: Volatility Prediction

Šimon Škorňa: Artificial Neural Networks in Space of Stock Returns: Volatility Prediction. Master Thesis. University of Economics in Prague, Faculty of Informatics and Statistics, 2020. (Supervised by Petra Tomanová)

Download pdf

Score-driven models for Value at Risk and Expected Shortfall

Kateřina Nováková: Score-driven models for Value at Risk and Expected Shortfall. Master Thesis. University of Economics in Prague, Faculty of Informatics and Statistics, 2019. (Supervised by Petra Tomanová)

Download pdf

Use of scoring in the process of debt recovery (in Czech)

Anastazia Kozina: Use of scoring in the process of debt recovery. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2020. (Supervised by Jiří Witzany)

Download pdf

Comparison of warrant pricing models

Iveta Karpišová: Comparison of warrant pricing models. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2020. (Supervised by Jiří Witzany)

Download pdf

Power markets and derivatives

Martin Dúbravský: Power markets and derivatives. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2019. (Supervised by Jiří Witzany)

Download pdf

Advanced methods of LGD estimation

Yulia Egorova: Advanced methods of LGD estimation. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2019. (Supervised by Jiří Witzany)

Download pdf

Analysis of Bubble Presence in Cryptocurrency Markets

Yulia Rebrova: Analysis of Bubble Presence in Cryptocurrency Markets. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2019. (Supervised by Jiří Witzany)

Download pdf

Pricing and modeling credit risk

Marek Kolman: Pricing and modeling credit risk. Doctoral Thesis. University of Economics in Prague, Faculty of Finance, 2017. (Supervised by Jiří Witzany)

Download pdf

Asset Pricing in Emerging Markets – Testing of Downside Risk Measures

Tamara Ajrapetova: Asset Pricing in Emerging Markets – Testing of Downside Risk Measures. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2017. (Supervised by Jiří Witzany)

Download pdf

Impact analysis of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate (in Czech)

Vojtěch Siuda: Analýza vlivu mediálně významných událostí na finanční trhy (in Czech; Impact analysis of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate). Bachelor thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2017. (Supervised by Jiří Witzany)

Download pdf

Post-Crisis Valuation of Derivatives

Jaroslav Baran: Post-Crisis Valuation of Derivatives. Doctoral Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2016. (Supervised by Jiří Witzany)

Download pdf

Support Vector Machines for Credit Scoring

Michal Haltuf: Support Vector Machines for Credit Scoring. Master Thesis. University of Economics in Prague, Faculty of Finance, 2014. (Supervised by Jiří Witzany)

Download pdf

A comparison of logistic regression and decision trees for scoring model design (in Czech)

Ladislav Kesely: Srovnání logistické regrese a rozhodovacích stromů při tvorbě skóringových modelů (in Czech; A comparison of logistic regression and decision trees for scoring model design). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2014. (Supervised by Jiří Witzany)

Download pdf

Interest Rate Modelling and Forecasting: Macro-Finance Approach

Adam Kučera: Interest Rate Modelling and Forecasting: Macro-Finance Approach. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2014. (Supervised by Jiří Witzany)

Download pdf

Nonlinearity in Time Series Models (in Czech)

František Kalibán: Nelinearita v modelech časových řad (in Czech; Nonlinearity in Time Series Models). Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2013.

Download pdf

Exchange market pressure: an evaluation using extreme value theory

Barbora Zuzáková: Exchange market pressure: an evaluation using extreme value theory. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2014.

Download pdf

Large claims modeling

Barbora Zuzáková: Large claims modeling. Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2013.

Download pdf

Estimation and goodness-of-fit criteria in logistic regression model (in Czech)

Markéta Ondrušková: Odhadování a kritéria těsnosti modelu logistické regrese (in Czech; Estimation and goodness-of-fit criteria in logistic regression model). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2011. (Supervised by Tomáš Hanzák)

Download pdf

KMV model in terms of the Czech capital market (in Czech)

Lukáš Jezbera: KMV model v podmínkách českého kapitálového trhu (in Czech; KMV model in terms of the Czech capital market). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2011. (Supervised by Jiří Witzany)

Download pdf

Credit derivatives market (in Czech)

Martin Prokop: Trh kreditních derivátů (in Czech; Credit derivatives market). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2011. (Supervised by Jiří Witzany)

Download pdf

Portfolio Credit Risk Modeling

Marek Kolman: Portfolio Credit Risk Modeling. Master Thesis. University of Economics, Prague, Faculty of Finance, 2010. (Supervised by Jiří Witzany)

Download pdf

Analysis of guaranteed investment funds (in Czech)

Jonáš Mach: Analýza garantovaných investičních fondů (in Czech; Analysis of guaranteed investment funds). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Jiří Witzany)

Download pdf

Statistical error in representative samples from population (in Czech)

Magdalena Zvejšková: Statistická chyba při reprezentativních výběrech z populace (in Czech; Statistical error in representative samples from population). Bachelor thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Tomáš Hanzák)

Download pdf

Derivatives pricing using Monte Carlo simulations (in Czech)

Jana Burešová: Oceňování derivátů pomocí Monte Carlo simulací (in Czech, Derivatives pricing using Monte Carlo simulations). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Jiří Witzany)

Download pdf

Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio (in Czech)

Jaroslav Baran: Analýza a porovnání různých modelů pro Value at Risk na nelineárním portfoliu (in Czech; Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio). Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2009. (Supervised by Jiří Witzany)

Download pdf

Estimations of Market and Credit Value at Risk (in Czech)

Jakub Černý: Odhady Value at Risk pro tržní a kreditní riziko (in Czech; Estimations of Market and Credit Value at Risk). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Jiří Witzany)

Download pdf

Exponential Smoothing (in Czech)

Jakub Mikulka: Exponenciální vyrovnávání(in Czech; Exponential Smoothing). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Tomáš Hanzák)

Download pdf

Step by Step Credit Risk Model Construction (in Czech)

Michal Rychnovský: Postupná výstavba modelu ohodnocení kreditního rizika (in Czech; Step by Step Credit Risk Model Construction). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Pavel Charamza)

Download pdf