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.
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.
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.
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.
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.
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.
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.
Risk Measures Prediction and Its Sensitivity to the Refit 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.
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.
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.
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.
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.
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.
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.
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
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
Analysing Cross-Currency Basis Spreads
Jaroslav Baran, Jiří Witzany: Analysing Cross-Currency Basis Spreads. European Stability Mechanism, Working Paper Series 25, 2017.
A Bayesian Approach to Backtest Overfitting
Jiří Witzany: A Bayesian Approach to Backtest Overfitting. University of Economics, 2017
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
A Copula Approach to CVA Modeling
Jakub Černý, Jiří Witzany: A Copula Approach to CVA Modeling. Charles University, University of Economics, 2015
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
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.
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
Interest Rate Swap Credit Value Adjustment
Jakub Černý, Jiří Witzany: Interest Rate Swap Credit Value Adjustment. Charles University, University of Economics, 2013
Estimating Default and Recovery Rate Correlations
Jiří Witzany: Estimating Default and Recovery Rate Correlations. University of Economics, 2013
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
Holt-Winters method with general seasonality
Tomáš Hanzák: Holt-Winters method with general seasonality. Kybernetika, Vol. 48 (2012), No. 1, 1-15.
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.
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.
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.
A Comparison of EVT and Standard VaR Estimations
Jaroslav Baran, Jiří Witzany: A Comparison of EVT and Standard VaR Estimations. University of Economics, 2011
A Two-Factor Model for PD and LGD Correlation
Jiří Witzany: A Two-Factor Model for PD and LGD Correlation. University of Economics, 2011
Credit Risk Management and Modeling
Jiří Witzany: Credit Risk Management and Modeling. Oeconomica, Prague, 2010.
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.
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.
Estimating LGD Correlation
Jiří Witzany: Estimating LGD Correlation. University of Economics, 2009
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.
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.
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.
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
Valuation of Convexity Related Derivatives
Jiří Witzany: Valuation of Convexity Related Derivatives. IES Working Paper 4/2008. IES FSV. Charles University.
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
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
Gibbsian process of convex grains
Rostislav Černý: Gibbsian process of convex grains. Charles University, Prague Faculty of Mathematics and Physics, 2003
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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.
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.
Large claims modeling
Barbora Zuzáková: Large claims modeling. Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2013.
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)
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)
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)
Portfolio Credit Risk Modeling
Marek Kolman: Portfolio Credit Risk Modeling. Master Thesis. University of Economics, Prague, Faculty of Finance, 2010. (Supervised by Jiří Witzany)
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)
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)
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)
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)
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)
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)
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)