Počet záznamů: 1

Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data

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, ORCID}
Zdroj.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