Detail práce

Multifractal analysis of petrol and diesel prices in the Czech Republic

Autor: Mgr. Martin Baletka
Rok: 2013 - letní
Vedoucí: doc. PhDr. Ladislav Krištoufek Ph.D.
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 64
Ocenění: Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek.
Odkaz:
Abstrakt: This thesis examines scaling properties of petrol and diesel prices in the Czech
Republic and a crude oil price over the period from January 2004 to February
2013. Using generalised Hurst exponent and multifractal detrended fluctuation
analysis techniques we find out that crude oil market is efficient, do not contain
long memory and the returns exhibit monofractal behaviour. On the other
hand, petrol and diesel markets in the Czech Republic are not efficient, because
their returns contain long-range dependence in autocorrelations and exhibit
multifractal behaviour caused mostly by fat-tailed distribution. Thus, fuels can
be modelled by complex methods like Markov switching multifractal model.

Partneři

ČSOB
Deloitte
McKinsey & Company

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