FFA Working Papers

From Prague University of Economics and Business
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5.008: Concepts of Housing Affordability Measurements

David Mazáček

5.007: A Comparison of Neural Networks and Bayesian MCMC for the Heston Model Estimation (Forget Statistics - Machine Learning is Sufficient!)

Jiří Witzany and Milan Fičura

5.006: The words have power: the impact of news on exchange rates

Teona Shugliashvili

5.005: Copula-Based Trading of Cointegrated Cryptocurrency Pairs

Masood Tadi and Jiří Witzany

5.004: Changes to Bank Capital Ratios and their Drivers Prior and During COVID-19 Pandemic: Evidence from EU

Pavel Jankulár and Zdeněk Tůma

5.003: Impact of size and volume on cryptocurrency momentum and reversal

Milan Fičura

5.002: Key determinants of new residential real estate prices in Prague

David Mazáček and Jiří Panoš

5.001: Machine Learning Applications to Valuation of Options on Non-liquid Markets

Jiří Witzany and Milan Fičura

4.009: Macroeconomic implications of oil price shocks to emerging economies: a Markov regime-switching approach

Sophio Togonidze and Evžen Kočenda

4.008: ECB monetary policy and commodity prices

Shahriyar Aliev and Evžen Kočenda

4.007: Attractiveness of Chinese Bonds Financing Climate and Environmental Projects

Karel Janda and Binyi Zhang

4.006: Application of the XGBoost algorithm and Bayesian optimization for the Bitcoin price prediction during the COVID-19 period

Jakub Drahokoupil

4.005: Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: An Analysis by Region and Resource Profile

Sophio Togonidze and Evžen Kočenda

4.004: Determinants of NMD Pass-Through Rates in Eurozone Countries

Milan Fičura and Jiří Witzany

4.003: Profit smoothing of European banks under IFRS 9

Oľga Jakubíková

4.002: Modelling of mortgage debt´s determinants: the case of the Czech Republic

Lukáš Fiala

4.001: Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations

Karel Janda, Ladislav Krištoufek and Binyi Zhang

3.003: IFRS 9 AND IT´S BEHAVIOUR IN THE CYCLE: THE EVIDENCE ON THE EU COUNTRIES

Oľga Pastiranová and Jiří Witzany

3.002: Variance Gamma process in the option pricing model

Jakub Drahokoupil

3.001: Banking Supervision and Risk-Adjusted Performance inthe Host Country Environment

Karel Janda and Oleg Kravtsov

2.004: Recovery process optimization using survival regression

Jiří Witzany and Anastasiia Kozina

2.003: The impact of renewable energy and technology innovation on Chinese carbon dioxide emissions

Karel Janda and Binyi Zhang

2.002: The impact of low interest rates on banks' non-performing loans

Matěj Maivald and Petr Teply

2.001: Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations

Jiří Witzany

1.001: Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Milan Fičura