Počet záznamů: 1
Scaling of dependence between foreign exchange rates and stock markets in Central Europe
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SYSNO ASEP 0472032 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Scaling of dependence between foreign exchange rates and stock markets in Central Europe Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID Celkový počet autorů 1 Zdroj.dok. Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS. - Warszawa : Polish Academy of Science, Institute of Physics, 2016 - ISSN 0587-4246 Rozsah stran s. 908-912 Poč.str. 5 s. Forma vydání Online - E Akce Polish Symposium of Physics in Economy and Social Sciences FENS (2016) /8./ Datum konání 04.11.2015 - 06.11.2015 Místo konání Rzeszów Země PL - Polsko Typ akce WRD Jazyk dok. eng - angličtina Země vyd. PL - Polsko Klíč. slova stock markets ; scale dependence ; currency Vědní obor RIV AH - Ekonomie CEP GP14-11402P GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000378613400003 EID SCOPUS 84973468822 DOI 10.12693/APhysPolA.129.908 Anotace We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2017
Počet záznamů: 1