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Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009
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SYSNO ASEP 0348351 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009 Title Long-term memory and its evolution in returns of stock index PX between 1997 and 2009 Author(s) Krištoufek, Ladislav (UTIA-B) RID, ORCID Number of authors 1 Source Title Politická ekonomie. - : Vysoká škola ekonomická v Praze - ISSN 0032-3233
Roč. 58, č. 4 (2010), s. 471-478Number of pages 17 s. Language cze - Czech Country CZ - Czech Republic Keywords econophysics ; long-range dependence ; time series analysis ; rescaled range ; periodogram Subject RIV AH - Economics R&D Projects GD402/09/H045 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000282356600003 Annotation Tato práce se zabývá procesy s dlouhodobou pamětí, jejich vývojem a jejich použitím ve výpočtech výnosu burzovního indexu PX v letech 1997 - 2009 Description in English Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature inter- prets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experien- ced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2011
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