Search results
- 1.0396003 - ÚTIA 2014 RIV CZ eng J - Journal Article
Baruník, Jozef
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
ACTA VŠFS. Roč. 7, č. 1 (2013), s. 6-30. ISSN 1802-792X
Institutional support: RVO:67985556
Keywords : multivariate realized volatility * covariation * wavelets
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/barunik-0396003.pdf
Permanent Link: http://hdl.handle.net/11104/0224121 - 2.0368270 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Baruník, Jozef - Vácha, Lukáš
Modeling multivariate volatility using wavelet-based realized covariance estimator.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 29-34. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Janská Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GAP402/10/1610; GA ČR GA402/09/0965; GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : multivariate realized volatility * covariation * jumps * wavelets
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0202661