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National Repository of Grey Literature

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	Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling. Detailed record
	Chování středoevropských trhů počas finanční krize Baruník, Jozef ; Vácha, Lukáš ; Vošvrda, Miloslav In the paper we research statistical properties of the Central European stock markets. Detailed record
	Výběrové vlastnosti Odhadů Hurstova exponentu na datech s težkými chvosty Baruník, Jozef ; Krištoufek, Ladislav We show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy tails in the data. Detailed record
	Neuronové Sítě jako semiparametrická metoda oceňování opcí Baruník, Jozef ; Baruníková, M. We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index. Detailed record
	Waveletová analýza trhů střední evropy během krize Vácha, Lukáš ; Baruník, Jozef In the proposed paper we would like to test for the different reactions of the stock markets to current financial crisis. We will focus on the Central European stock markets, namely Czech, Polish, Hungarian and compare them to German and U.S. benchmark stock markets. Detailed record
	Aplikace teorie katastrof typu CUSP na akciove trhy USA Baruník, Jozef ; Vošvrda, Miloslav The CUSP catastrophe model explains the crash of stock exchanges much better than alternative linear and logistic models. On the data U.S. staock markets we demonstrate that the crash of October 19, 1987 may be better explained by cusp catastropohe theory, which is not true for the crash of Sept.11, 2001 Detailed record
	Neuronové sítě s Waveletovým filtrem: Aplikace na akciové indexy střední evropy a jejich predikce Baruník, Jozef ; Vácha, Lukáš Wavelet Neural Network prediction of Central European stock market returns series. Detailed record
	Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling Baruník, Jozef ; Vošvrda, Miloslav The paper is one of the first attempts to fit the cusp catastrophe theory to stock market data. Detailed record
	Smart Predictors in the Heterogeneous Agent Model Vácha, Lukáš ; Baruník, Jozef ; Vošvrda, Miloslav In this paper we extended the original model of heterogeneous agent model by introducting smart traders concept. Detailed record
	Sentiment Patterns in the Heterogeneous Agent Model Vácha, Lukáš ; Baruník, Jozef ; Vošvrda, Miloslav In this paper we extended the original model of heterogeneous agent model by introducting smart traders and changes in the agents sentiment to the model. Detailed record

National Repository of Grey Literature : 182 records found   172 - 181  jump to record:

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