Original title:
Application of isobars to stock market indices
Authors:
Ivanková, Kristýna Document type: Papers Conference/Event: Mathematical Methods in Economics, Ceske Budejovice (CZ), 2010-09-08 / 2010-09-10
Year:
2010
Language:
eng Abstract:
Isobar surfaces, a method for describing the overall shape of multidimensional data, are estimated by nonparametric regression and used to evaluate the efficiency of selected markets based on returns of their stock market indices.
Keywords:
efficient market hypothesis; extreme value theory; isobars; nonparametric regression Project no.: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP) Funding provider: GA ČR Host item entry: Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2