Search results
- 1.0533565 - ÚTIA 2022 RIV NL eng J - Journal Article
Baruník, Jozef - Čech, František
Measurement of common risks in tails: A panel quantile regression model for financial returns.
Journal of Financial Markets. Roč. 52, č. 1 (2021), č. článku 100562. ISSN 1386-4181. E-ISSN 1878-576X
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Panel quantile regression * Realized measures * Value-at-risk
OECD category: Applied Economics, Econometrics
Impact factor: 3.095, year: 2021
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/barunik-0533565.pdf https://www.sciencedirect.com/science/article/pii/S1386418120300318
Permanent Link: http://hdl.handle.net/11104/0311940 - 2.0507522 - ÚTIA 2020 RIV US eng J - Journal Article
Čech, František - Baruník, Jozef
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities.
Journal of Futures Markets. Roč. 39, č. 9 (2019), s. 1167-1189. ISSN 0270-7314. E-ISSN 1096-9934
Institutional support: RVO:67985556
Keywords : implied volatility * panel quantile regression * realized volatility * value‐at‐risk
OECD category: Finance
Impact factor: 1.359, year: 2019
Method of publishing: Open access
http://library.utia.cas.cz/separaty/2019/E/barunik-0507522.pdf https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22017?af=R
Permanent Link: http://hdl.handle.net/11104/0298673 - 3.0472346 - ÚTIA 2018 RIV US eng J - Journal Article
Avdulaj, Krenar - Baruník, Jozef
Semiparametric nonlinear quantile regression model for financial returns.
Studies in Nonlinear Dynamics and Econometrics. Roč. 21, č. 1 (2017), s. 81-97. ISSN 1081-1826. E-ISSN 1558-3708
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : copula quantile regression * realized volatility * value-at-risk
OECD category: Applied Economics, Econometrics
Impact factor: 0.855, year: 2017
http://library.utia.cas.cz/separaty/2017/E/avdulaj-0472346.pdf
Permanent Link: http://hdl.handle.net/11104/0271353 - 4.0468834 - ÚTIA 2017 CZ eng V - Research Report
Branda, Martin - Červinka, Michal - Schwartz, A.
Sparse robust portfolio optimization via NLP regularizations.
Praha: ÚTIA AV ČR v. v. i., 2016. 19 s. Research Report, 2358.
R&D Projects: GA ČR GA15-00735S
Grant - others:GA ČR(CZ) GA13-01930S
Institutional support: RVO:67985556
Keywords : Conditional Value-at-Risk * Value-at-Risk * risk measure
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2016/E/branda-0468834.pdf
Permanent Link: http://hdl.handle.net/11104/0266849File Download Size Commentary Version Access 0468834.pdf 5 186.3 KB Other open-access - 5.0434200 - ÚTIA 2017 RIV GB eng J - Journal Article
Žikeš, F. - Baruník, Jozef
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.
Journal of Financial Econometrics. Roč. 14, č. 1 (2016), s. 185-226. ISSN 1479-8409. E-ISSN 1479-8417
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : conditional quantiles * quantile regression * realized measures * value-at-risk
Subject RIV: AH - Economics
Impact factor: 1.800, year: 2016
http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf
Permanent Link: http://hdl.handle.net/11104/0238364 - 6.0410779 - UTIA-B 20010248 CZ eng V - Research Report
Derviz, Alexis - Kadlčáková, N.
Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy.
Praha: ČNB, 2001. 77 s. Research Report, 39.
Institutional research plan: AV0Z1075907
Keywords : credit risk * default probability * value at risk
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0130866 - 7.0396091 - NHÚ 2014 RIV CZ eng J - Journal Article
Žiković, S. - Filer, Randall K.
Ranking of VaR and ES models: performance in developed and emerging markets.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 63, č. 4 (2013), s. 327-359. ISSN 0015-1920. E-ISSN 0015-1920
Institutional support: RVO:67985998
Keywords : ranking * value at risk * expected shortfall
Subject RIV: AH - Economics
Impact factor: 0.358, year: 2013
http://journal.fsv.cuni.cz/storage/1279_327-359-filer.pdf
Permanent Link: http://hdl.handle.net/11104/0224093 - 8.0385930 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Kopa, Miloš
Value at Risk application to FSD portfolio efficiency testing.
Proceedings of Managing and Modelling of Financial Risks 2012. Ostrava: VŠB-Technická univerzita Ostrava, Ekonomická fakulta, 2012, s. 320-325. ISBN 978-80-248-2835-0.
[Managing and modeling of financial risks 2012. Ostrava (CZ), 10.09.2012-11.09.2012]
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Value at Risk * first order stochastic dominance * portfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf
Permanent Link: http://hdl.handle.net/11104/0216178 - 9.0382158 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Houda, Michal
Convexity in stochastic programming model with indicators of ecological stability.
Proceedings of 30th International Conference Mathematical Methods in Economics. Karviná: Silesian University in Opava, School of Business Administration in Karviná, 2012 - (Ramík, J.; Stavárek, D.), s. 314-319. ISBN 978-80-7248-779-0.
[30th International Conference Mathematical Methods in Economics 2012. Karviná (CZ), 11.09.2012-13.09.2012]
R&D Projects: GA ČR GAP402/10/0956
Institutional support: RVO:67985556
Keywords : stochastic programming * convexity * value-at-risk models
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2012/E/houda-convexity in stochastic programming model with indicators of ecological stability.pdf
Permanent Link: http://hdl.handle.net/11104/0212459 - 10.0369422 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Houda, Michal
Using indicators of ecological stability in stochastic programming.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 279-283. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Jánska Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : EIA process * indicator of ecological stability * stochastic programming * value-at-risk model
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0203488