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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

Historical Calibration of SVJD Models with Deep Learning

Milan Fičura, Jiří Witzany: Historical Calibration of SVJD Models with Deep Learning. IES Working Paper 36/2023, Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague.

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Copula-Based Trading of Cointegrated Cryptocurrency Pairs

Masood Tadi, Jiří Witzany: Copula-Based Trading of Cointegrated Cryptocurrency Pairs. FFA Working Paper 4/2023, FFA, Prague University of Economics and Business, Prague.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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Analysing Cross-Currency Basis Spreads

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

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A Bayesian Approach to Backtest Overfitting

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

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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.

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A Copula Approach to CVA Modeling

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

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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.

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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.

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Interest Rate Swap Credit Value Adjustment

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

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Estimating Default and Recovery Rate Correlations

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

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Methods for Volatility Forecasting Using Realized Volatilities and Option Market Prices (in Czech)

Milan Fičura: Methods for Volatility Forecasting Using Realized Volatilities and Option Market Prices. University of Economics, 2012.

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Holt-Winters Method with General Seasonality

Tomáš Hanzák: Holt-Winters Method with General Seasonality. Kybernetika, Vol. 48 (2012), No. 1, 1-15.

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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.

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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.

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A Comparison of EVT and Standard VaR Estimations

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

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A Two-Factor Model for PD and LGD Correlation

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

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Credit Risk Management and Modeling

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

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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.

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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.

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Estimating LGD Correlation

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

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Exponential Smoothing for Irregular Time Series (in Czech)

Tomáš Hanzák: Exponential Smoothing for Irregular Time Series. Robust, 2008.

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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.

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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.

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Basel II Capital Requirement Sensitivity to the Definition of Default

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

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Valuation of Convexity Related Derivatives

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

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Statistical Errors in Survey Sampling Estimation Methods (in Czech)

Martin Andìl, Rostislav Černý, Pavel Charamza, Jan Neustadt: Statistical Errors in Survey Sampling Estimation Methods. Published in yearbook Statistika ČSÚ, 2005.

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Seigniorage in Continuous Time (in Czech)

Petr Mach, Tomáš Hanzák: Seigniorage in Continuous Time. Published in Politická ekonomie magazine, 2004.

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Gibbsian Process of Convex Grains

Rostislav Černý: Gibbsian Process of Convex Grains. Charles University, Prague Faculty of Mathematics and Physics, 2003.

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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)

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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)

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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)

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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)

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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)

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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)

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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)

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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)

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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)

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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)

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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)

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Analysis of the Impact of Media Important Events on Financial Markets (in Czech)

Vojtěch Siuda: Analysis of the Impact of Media Important Events on Financial Markets. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2017. (Supervised by Jiří Witzany)

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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)

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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.

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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)

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A Comparison of Logistic Regression and Decision Trees for Scoring Model Design (in Czech)

Ladislav Kesely: 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)

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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)

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Nonlinearity in Time Series Models (in Czech)

František Kalibán: Nonlinearity in Time Series Models. Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2013.

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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.

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Large Claims Modeling

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

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Stochastic Interest Rates Modeling (in Czech)

Jakub Černý: Stochastic Interest Rates Modeling. Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2011. (Supervised by Jiří Witzany)

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Estimation and Goodness-of-Fit Criteria in Logistic Regression Model (in Czech)

Markéta Ondrušková: 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)

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KMV Model in Terms of the Czech Capital Market (in Czech)

Lukáš Jezbera: 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)

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Credit Derivatives Market (in Czech)

Martin Prokop: Credit Derivatives Market. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2011. (Supervised by Jiří Witzany)

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Portfolio Credit Risk Modeling

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

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Analysis of Guaranteed Investment Funds (in Czech)

Jonáš Mach: Analysis of Guaranteed Investment Funds. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Jiří Witzany)

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Statistical Error in Representative Samples from Population (in Czech)

Magdalena Zvejšková: Statistical Error in Representative Samples from Population. Bachelor Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Tomáš Hanzák)

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Derivatives Pricing Using Monte Carlo Simulations (in Czech)

Jana Burešová: Derivatives Pricing Using Monte Carlo Simulations. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Jiří Witzany)

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

Jaroslav Baran: 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)

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

Jakub Černý: Estimations of Market and Credit Value at Risk. Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Jiří Witzany)

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Exponential Smoothing (in Czech)

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

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Step by Step Credit Risk Model Construction (in Czech)

Michal Rychnovský: Step by Step Credit Risk Model Construction. Bachelor Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Pavel Charamza)

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