Počet záznamů: 1
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
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SYSNO ASEP 0347765 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data Tvůrce(i) Baruník, Jozef (UTIA-B) RID, ORCID
Vácha, Lukáš (UTIA-B) RID
Krištoufek, Ladislav (UTIA-B) RID, ORCIDZdroj.dok. 28th International Conference on Mathematical Methods in Economics 2010, Part II. - České Budějovice : University of South Bohemia in České Budějovice, Faculty of Economy, 2010 / Houda Michal ; Friebelová Jana - ISBN 978-80-7394-218-2 Rozsah stran s. 12-17 Poč.str. 6 s. Akce Mathematical Methods in Economics 2010 Datum konání 08.09.2010-10.09.2010 Místo konání České Budějovice Země CZ - Česká republika Typ akce EUR Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova comovement ; contagion ; wavelet analysis ; wavelet coherence Vědní obor RIV AH - Ekonomie CEP GA402/09/0965 GA ČR - Grantová agentura ČR GD402/09/H045 GA ČR - Grantová agentura ČR GP402/08/P207 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
Počet záznamů: 1