Počet záznamů: 1

Long-range dependence in returns and volatility of Central European Stock Indices

SYSNO ASEP	0343070
Druh ASEP	J - Článek v odborném periodiku
Zařazení RIV	J - Článek v odborném periodiku
Poddruh J	Ostatní články
Název	Long-range dependence in returns and volatility of Central European Stock Indices
Tvůrce(i)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Zdroj.dok.	Bulletin of the Czech Econometric Society - ISSN 1212-074X Roč. 17, č. 27 (2010), s. 50-67
Poč.str.	18 s.
Jazyk dok.	eng - angličtina
Země vyd.	CZ - Česká republika
Klíč. slova	long-range dependence ; bootstrapping ; rescaled range analysis ; rescaled variance analysis
Vědní obor RIV	AH - Ekonomie
CEP	GD402/09/H045 GA ČR - Grantová agentura ČR
	GA402/09/0965 GA ČR - Grantová agentura ČR
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Anotace	In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with pre-whitening and post-blackening is used for a construction of confidence intervals for the hypothesis testing. We show that there is no significant long-range dependence in returns of all examined indices. However, significant long-range dependence is detected in volatility of all three indices. The results for returns are contradictory with several studies which claim that developing markets are persistent. However, majority of these studies either do not use the confidence intervals at all or only the ones based on standard normal distribution. Therefore, the results of such studies should be reexamined and reinterpreted.
Pracoviště	Ústav teorie informace a automatizace
Kontakt	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Rok sběru	2011

Počet záznamů: 1