Počet nalezených dokumentů: 1515
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Institutions, Financial Development, and Small Business Survival: Evidence from European Emerging Economies
Iwasaki, I.; Kočenda, Evžen; Shida, Y.
2020 - anglický
In this paper, we traced the survival status of 94,401 small businesses in 17 European emerging markets from 2007–2017 and empirically examined the determinants of their survival, focusing on institutional quality and financial development. We found that institutional quality and level of financial development exhibit statistically significant and economically meaningful impacts on the survival probability of the SMEs being researched. The evidence holds even when we control for a set of firm-level characteristics such as ownership structure, financial performance, firm size, and age. The findings are also uniform across industries and country groups and robust beyond the difference in assumption of hazard distribution. Klíčová slova: small business; survival analysis; European emerging markets Dokument je dostupný na externích webových stránkách.
Institutions, Financial Development, and Small Business Survival: Evidence from European Emerging Economies

In this paper, we traced the survival status of 94,401 small businesses in 17 European emerging markets from 2007–2017 and empirically examined the determinants of their survival, focusing on ...

Iwasaki, I.; Kočenda, Evžen; Shida, Y.
Ústav teorie informace a automatizace, 2020

Financial Crime and Punishment: A Meta-Analysis
de Batz, L.; Kočenda, Evžen
2020 - anglický
We examine how the publication of intentional financial crimes committed by listed firms is interpreted by financial markets, using a systematic and quantitative review of existing empirical studies. Specifically, we conduct a meta-regression analysis and investigate the extent and nature of the impact that the publication of financial misconducts exerts on stock returns. We survey 111 studies, published between 1978 and 2020, with a total of 439 estimates from event studies. Our key finding is that the average abnormal returns calculated from this empirical literature are affected by a negative publication selection bias. Still, after controlling for this bias, our meta-analysis indicates that publications of financial crimes are followed by statistically significant negative abnormal returns, which suggests the existence of an informational effect. Finally, the MRA results demonstrate that crimes committed in common law countries, alleged crimes, and accounting crimes carry particularly weighty information for market participants. The results call for more transparency on side of enforcers along enforcement procedures, to foster timely and proportionate market reactions and support efficient markets. Klíčová slova: Meta-Analysis; Event study; Financial Misconduct; Fraud; Financial Markets; Returns; Listed Companies; Information and Market Efficiency Dokument je dostupný na externích webových stránkách.
Financial Crime and Punishment: A Meta-Analysis

We examine how the publication of intentional financial crimes committed by listed firms is interpreted by financial markets, using a systematic and quantitative review of existing empirical studies. ...

de Batz, L.; Kočenda, Evžen
Ústav teorie informace a automatizace, 2020

Selective Attention in Exchange Rate Forecasting
Kapounek, S.; Kučerová, Z.; Kočenda, Evžen
2020 - anglický
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs for the period of 1979–2016. We employ a dynamic model averaging approach to reduce model selection uncertainty and to identify time-varying probability to include regressors in our models. Our results show that smaller sizes models accounting for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a growing impact of foreign trade and monetary policy news on the euro/dollar exchange rate following the global financial crisis. Overall, our results point to the existence of selective attention in the case of most currency pairs. Klíčová slova: exchange rate; selective attention; news; forecasting; dynamic model averaging Dokument je dostupný na externích webových stránkách.
Selective Attention in Exchange Rate Forecasting

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market ...

Kapounek, S.; Kučerová, Z.; Kočenda, Evžen
Ústav teorie informace a automatizace, 2020

Bivariate Geometric Distribution and Competing Risks: Statistical Analysis and Application
Volf, Petr
2020 - anglický
The contribution studies the statistical model for discrete time two-variate duration (time-to-event) data. The analysis is complicated by partial data observation caused either by the right-side censoring or by the presence of dependent competing events. The case is modeled and analyzed with the aid of a two-variate geometric distribution. The model identifiability is discussed and it is shown that the model is not identifiable without proper additional assumptions. The method of analysis is illustrated both on artificially generated\nexample and on real unemployment data. Klíčová slova: bivariate geometric distribution; competing risks; unemployment data Dokument je dostupný na externích webových stránkách.
Bivariate Geometric Distribution and Competing Risks: Statistical Analysis and Application

The contribution studies the statistical model for discrete time two-variate duration (time-to-event) data. The analysis is complicated by partial data observation caused either by the right-side ...

Volf, Petr
Ústav teorie informace a automatizace, 2020

Kombinace prediktorů v odhadování parametrů
Podlesna, Yana; Kárný, Miroslav
2020 - český
Tato bakalářská práce se zabývá návrhem metody k řešení prokletí rozměrnosti vznikající v kvantitativním modelování složitých vzájemně propojených systémů. Jedná se o předpovídací modely, které jsou založené na diskrétním markovském rozhodovacím procesu. Předpovídání je založeno na odhadu parametrů modelu pomocí bayesovské statistiky. Tato práce obsahuje návod na zmenšení rozměrnosti dat, potřebných k předpovídání v systémech s velkým počtem stavů a akcí. Místo odhadu prediktoru závislého na všech parametrech metoda předpokládá užití několika prediktorů, které vznikají odhadováním parametrických modelů, předpokládajících závislost na různých regresorech. Vlastnosti chování navržené metody jsou ilustrovány simulačními experimenty. This bachelor thesis deals with the design of the method for solving the curse of dimensionality arising in the quantitative modeling of complex interconnected systems. The employed predictive models are based on a discrete Markov process. Prediction is based on estimating model parameters using Bayesian statistics. This work contains method for reducing the amount of data needed for prediction in systems with a large number of occurring states and actions. Instead of estimating a predictor dependent on all parameters, the method assumes the use of several predictors, which arise from estimating parametric models based on dependences on different regressors. The behavioral properties of the proposed method are illustrated by simulation experiments. Klíčová slova: curse of dimensionality; Bayesian estimation; prediction; Markov decision process; decision making Dokument je dostupný na externích webových stránkách.
Kombinace prediktorů v odhadování parametrů

Tato bakalářská práce se zabývá návrhem metody k řešení prokletí rozměrnosti vznikající v kvantitativním modelování složitých vzájemně propojených systémů. Jedná se o předpovídací modely, které jsou ...

Podlesna, Yana; Kárný, Miroslav
Ústav teorie informace a automatizace, 2020

Proceedings of the 22nd Czech-Japan Seminar on Data Analysis and Decision Making
Inuiguchi, M.; Jiroušek, Radim; Kratochvíl, Václav
2019 - anglický
The history of the series of the Czech-Japan seminars started in 1999. Thus, it is now more than 20 years ago when the first Czech-Japan Seminar on Data Analysis and Decision Making under Uncertainty was held in JAIST, Hokuriku. Since that time, these seminars were held in eleven splendid places in Japan, offering the Czech participants possibility to discover different parts of the Japanese islands. In reciprocity, it was the goal of the Czech partners organizing the past ten seminars to show the beauty of Czechia to Japanese colleagues, who, during the long Japan–Czech cooperation, became our close friends. This is also why the seminar has never visited one place two times. Klíčová slova: Decision Making; Data Analysis; Uncertainty Dokument je dostupný na externích webových stránkách.
Proceedings of the 22nd Czech-Japan Seminar on Data Analysis and Decision Making

The history of the series of the Czech-Japan seminars started in 1999. Thus, it is now more than 20 years ago when the first Czech-Japan Seminar on Data Analysis and Decision Making under Uncertainty ...

Inuiguchi, M.; Jiroušek, Radim; Kratochvíl, Václav
Ústav teorie informace a automatizace, 2019

A Step towards Upper-bound of Conflict of Belief Functions based on Non-conflicting Parts
Daniel, M.; Kratochvíl, Václav
2019 - anglický
This study compares the size of conflict based on non-conflicting parts of belief functions $Conf$ with the sum of all multiples of bbms of disjoint focal elements of belief functions in question. In general, we make an effort to reach a simple upper bound function for $Conf$. (Nevertheless, the maximal value of conflict is, of course, equal to 1 for fully conflicting belief functions). We apply both theoretical research using the recent results on belief functions and also experimental computational approach here. Klíčová slova: Belief functions; Dempster-Shafer theory; Uncertainty; Conflict-ing belief masses; Conflict between belief functions; Hidden conflict Dokument je dostupný na externích webových stránkách.
A Step towards Upper-bound of Conflict of Belief Functions based on Non-conflicting Parts

This study compares the size of conflict based on non-conflicting parts of belief functions $Conf$ with the sum of all multiples of bbms of disjoint focal elements of belief functions in question. In ...

Daniel, M.; Kratochvíl, Václav
Ústav teorie informace a automatizace, 2019

Second Order Optimality in Markov and Semi-Markov Decision Processes
Sladký, Karel
2019 - anglický
Semi-Markov decision processes can be considered as an extension of discrete- and continuous-time Markov reward models. Unfortunately, traditional optimality criteria as long-run average reward per time may be quite insufficient to characterize the problem from the point of a decision maker. To this end it may be preferable if not necessary to select more sophisticated criteria that also reflect variability-risk features of the problem. Perhaps the best known approaches stem from the classical work of Markowitz on mean-variance selection rules, i.e. we optimize the weighted sum of average or total reward and its variance. Such approach has been already studied for very special classes of semi-Markov decision processes, in particular, for Markov decision processes in discrete - and continuous-time setting. In this note these approaches are summarized and possible extensions to the wider class of semi-Markov decision processes is discussed. Attention is mostly restricted to uncontrolled models in which the chain is aperiodic and contains a single class of recurrent states. Considering finite time horizons, explicit formulas for the first and second moments of total reward as well as for the corresponding variance are produced. Klíčová slova: semi-Markov processes with rewards; discrete and continuous-time Markov reward chains; risk-sensitive optimality; average reward and variance over time Dokument je dostupný na externích webových stránkách.
Second Order Optimality in Markov and Semi-Markov Decision Processes

Semi-Markov decision processes can be considered as an extension of discrete- and continuous-time Markov reward models. Unfortunately, traditional optimality criteria as long-run average reward per ...

Sladký, Karel
Ústav teorie informace a automatizace, 2019

Mean-Risk Optimization Problem via Scalarization, Stochastic Dominance, Empirical Estimates
Kaňková, Vlasta
2019 - anglický
Many economic and financial situations depend simultaneously on a random element and on a decision parameter. Mostly it is possible to influence the above mentioned situation by an optimization model depending on a probability measure. We focus on a special case of one-stage two objective stochastic “Mean-Risk problem”. Of course to determine optimal solution simultaneously with respect to the both criteria is mostly impossible. Consequently, it is necessary to employ some approaches. A few of them are known (from the literature), however two of them are very important: first of them is based on a scalarizing technique and the second one is based on the stochastic dominance. First approach has been suggested (in special case) by Markowitz, the second approach is based on the second order stochastic dominance. The last approach corresponds (under some assumptions) to partial order in the set of the utility functions.\nThe aim of the contribution is to deal with the both main above mentioned approaches. First, we repeat their properties and further we try to suggest possibility to improve the both values simultaneously with respect to the both criteria. However, we focus mainly on the case when probability characteristics has to be estimated on the data base. Klíčová slova: Two-objective stochastic optimization problems; scalarization; stochastic dominance; empirical estimates Dokument je dostupný na externích webových stránkách.
Mean-Risk Optimization Problem via Scalarization, Stochastic Dominance, Empirical Estimates

Many economic and financial situations depend simultaneously on a random element and on a decision parameter. Mostly it is possible to influence the above mentioned situation by an optimization model ...

Kaňková, Vlasta
Ústav teorie informace a automatizace, 2019

Theory of SSB Representation of Preferences Revised
Pištěk, Miroslav
2019 - anglický
A continuous skew-symmetric bilinear (SSB) representation of preferences has recently been proposed in a topological vector space, assuming a weaker notion of convexity of preferences than in the classical (algebraic) case. Equipping a linear vector space with the so-called inductive linear topology, we derive the algebraic SSB representation on a topological basis, thus weakening\nthe convexity assumption. Such a unifying approach to SSB representation permits also to fully discuss the relationship of topological and algebraic axioms of continuity, and leads to a stronger existence result for a maximal element. By applying this theory to probability measures we show the existence of a maximal preferred measure for an infinite set of pure outcomes, thus generalizing all available existence theorems in this context. Klíčová slova: probability measures; inductive linear topology; topological vector space Dokument je dostupný na externích webových stránkách.
Theory of SSB Representation of Preferences Revised

A continuous skew-symmetric bilinear (SSB) representation of preferences has recently been proposed in a topological vector space, assuming a weaker notion of convexity of preferences than in the ...

Pištěk, Miroslav
Ústav teorie informace a automatizace, 2019

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