PhDr. František Čech

Fotografie

Akademická funkce: Ph.D. Candidate
Odborné zaměření: Financial Econometrics; Time-Series Models; Portfolio Choice; International Financial Markets
Členství: Doktorandi, Katedra financí a kapitálových trhů

Kontakt

Kancelář: 503
Email: frantisek [DOT] cech [AT] fsv [DOT] cuni [DOT] cz
Telefon: +420 776 535 106
Osobní www stránka: https://cz.linkedin.com/in/frantisek-cech-70a10538
Konzultační hodiny: po dohode

Další informace

Asistent

JEM116 - Applied Econometrics

PhD studium

Školitel: doc. PhDr. Jozef Baruník Ph.D.

Rok začátku PhD studia: 2013
Datum rigorózní zkoušky: 10/2013
Datum státní dr. zkoušky: 01/2017
Malá obhajoba: 2018
Velká obhajoba: 2018

Vědecká práce:
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Disertační téma:
Multivariate Volatility Modeling

Disertační teze:
GHAR:
Recent multivariate extensions of popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled in residuals. We propose to employ a system of seemingly unrelated regressions to model and forecast realized covariance matrix to capture this information. We find that the newly proposed generalized heterogeneous autoregressive (GHAR) model outperforms competing approaches in terms of economic gains providing better mean-variance trade-off while in terms of statistical precision GHAR is not substantially dominated by any other model. Additionally, our results provide a comprehensive comparison of the performance when realized covariance, sub-sampled realized covariance and noise-robust multivariate realized kernel estimators, are used. We study the contribution of the estimators across different sampling frequencies, and we show that the multivariate realized kernel and sub-sampled realized covariance estimators deliver further gains compared to realized covariance estimated on 5 minutes frequency. In order to show the economic and statistical gains of the GHAR model, portfolio of various sizes is used.


Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns:
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized fixed effects estimator we are able to control for otherwise unobserved heterogeneity among financial assets. Direct benefits of the proposed approach are revealed in the portfolio Value-at-Risk forecasting application, where our modeling strategy performs significantly better than several benchmark models according to both statistical and economic comparison. In particular Panel Quantile Regression Model for Returns consistently outperforms all the competitors in the 5\% and 10\% quantiles. Sound statistical performance translates directly into economic gains which is demonstrated in the Global Minimum Value-at-Risk Portfolio and Markowitz-like comparison. Overall results of our research are important for correct identification of the sources of systemic risk, and are particularly attractive for high dimensional applications.

Volitelné předměty (absolvované):
WS 2016/2017: JED412 - Nonlinear Dynamic Economic Systems: Theory and Applications
WS 2016/2017: JED414 - Quantitative Methods I
SS 2016/2017: JED413 - Nonlinear Dynamic Economic Systems: Theory and Applications
SS 2016/2017: JED415 - Quantitative Methods II

WS 2015/2016: JED414 - Quantitative Methods I
SS 2015/2016: JED415 - Quantitative Methods II

WS 2014/2015: JED414 - Quantitative Methods I
SS 2014/2015: JED415 - Quantitative Methods II

WS 2013/2014: JED414 - Quantitative Methods I
SS 2013/2014: JED415 - Quantitative Methods II

Životopis

Člen organizací

DYME – Dynamic Models in Economics (Excellence Project of GAČR)

Vzdělání

07-08/2016: Visiting scholar at the University of California, Berkeley, Department of Economics
2013+: Ph.D., IES FSV UK
2013: PhDr., IES FSV UK
2010 - 2013: Mgr., IES FSV UK
2012: Erasmus program - Humboldt University in Berlin
2007 - 2010: Bc., IES FSV UK

Odborná praxe

2016+: GEMCLIME project administrator
2015+: ECOCEP project administrator
2014 - 2015: RWE Energie s.r.o , Analyst - Sales Portfolio Management
2013 - 2014: RWE Česká republika a.s., Trainee - Retail Portfolio Management

Veřejné aktivity

Výuka:
ZS 2016/2017: JEM 035 - Financial Markets Instruments I
LS 2016/2017: JEM 116 - Applied Econometrics

ZS 2015/2016: JEM 035 - Financial Markets Instruments I
LS 2015/2016: JEM 036 - Financial Markets Instruments II
LS 2015/2016: JEM 116 - Applied Econometrics

ZS 2014/2015: JEM 035 - Financial Markets Instruments I
LS 2014/2015: JEM 036 - Financial Markets Instruments II
LS 2014/2015: JEM 116 - Applied Econometrics

ZS 2013/2014: JEM 035 - Financial Markets Instruments I
LS 2013/2014: JEM 036 - Financial Markets Instruments II
LS 2013/2014: JEM 116 - Applied Econometrics

Referee:
Prague Economic Papers (5), Czech Journal of Economics and Finance (1)

Ocenění

2013: Cena guvernéra Národnej banky Slovenska (2. miesto) - cena za výnimočnú dizertačnú prípadne diplomovú prácu v oblasti ekonómie
2013: Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek a za vynikající diplomovou práci.

Nabídka témat závěrečných prací

Semestrální práce

Applied Financial Econometrics - multivariate volatility modelling
Applied Financial Econometrics - volatility modelling

Bakalářské práce

Applied Financial Econometrics - multivariate volatility modelling
Applied Financial Econometrics - volatility modelling

Diplomové práce

Applied Financial Econometrics - multivariate volatility modelling
Applied Financial Econometrics - volatility modelling

Currently supervising 3 master thesis:
Šimon Procházka: Application of the Realized Semivariances within Realized GARCH framework
Zhang Haiying: The empirical research of cross listed stocks: The case of AH shares
Pavel Stirba: The Effects of Monetary Policy on Real Estate Market: a VAR Analysis

Vedoucí diplomových prací

vše/oceněné: 3/0
Oceněné:

Ke stažení

Evaluation_2015
ISP
ISP_update_2014
ISP_update_2015

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF