Search results
- 1.0370121 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Ivanková, Kristýna - Krištoufek, Ladislav - Vošvrda, Miloslav
Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 300-305. 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 GD402/09/H045
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : isoquantile * Hurst exponent * Efficient Market Hypothesis * stock market index * isobar
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/ivankova-evaluating the efficient market hypothesis by means of isoquantile surfaces and the hurst exponent.pdf
Permanent Link: http://hdl.handle.net/11104/0204015 - 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 - 3.0367954 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Krištoufek, Ladislav
Multifractal Height Cross-Correlation Analysis.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 1-19. 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 GA402/09/0965; GA ČR GD402/09/H045
Grant - others:GAUK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : cross-correlations * multifractality * long-range dependence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf
Permanent Link: http://hdl.handle.net/11104/0202449 - 4.0358733 - ÚTIA 2013 CZ eng C - Conference Paper (international conference)
Omelchenko, Vadym
Elliptical Stable Distributions.
Mathematical Methods in Economics 2010. Ceske Budejovice: University of South Bohemia, 2010 - (Houda, M.; Friebelova, J.). ISBN 978-80-7394-218-2.
[Mathematical Methods in Economics 2010. České Budějovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : Stable Distribution * Elliptical stable distributions * Maximum Likelihood Projections Estimators
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/omelchenko-elliptical stable distributions.pdf
Permanent Link: http://hdl.handle.net/11104/0196682 - 5.0352601 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Ivanková, Kristýna
Application of isobars to stock market indices.
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. České Budějovice: University of South Bohemia, 2010 - (Houda, M.; Friebelová, J.), s. 296-301. ISBN 978-80-7394-218-2.
[Mathematical Methods in Economics. Ceske Budejovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : isobars * efficient market hypothesis * nonparametric regression * extreme value theory
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/ivankova-application of isobars to stock market indices.pdf
Permanent Link: http://hdl.handle.net/11104/0192076 - 6.0351753 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin - Gapko, Petr
Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio.
Proceedings of the 47th European Working Group on Financial Modelling. Ostava: Vysoká škola báňská - Technická univerzita Ostrava, 2010, s. 1-10. ISBN 978-80-248-2351-5.
[47th EWGFM meeting. Praha (CZ), 28.10.2010-30.10.2010]
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : credit risk * mortgage * loan portfolio * dynamic model * estimation
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/smid-dynamic model of losses of creditor with a large mortgage portfolio.pdf
Permanent Link: http://hdl.handle.net/11104/0191435 - 7.0349569 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Veverka, Petr
Backward stochastic differential equations and its application to stochastic control.
Stochastic and Physical Monitoring Systems 2010 - Proceedings. Praha: Nakladatelství ČVUT - výroba, 2010 - (Hobza, T.), s. 181-189. ISBN 978-80-01-04641-8.
[Stochastic and Physical Monitoring Systems 2010. Děčín (CZ), 27.06.2010-03.07.2010]
R&D Projects: GA ČR GD402/09/H045; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : BSDE * Stochastic control
Subject RIV: BA - General Mathematics
http://library.utia.cas.cz/separaty/2010/E/veverka-backward%20stochastic%20differential%20equations%20and%20its%20application%20to%20stochastic%20control.pdf
Permanent Link: http://hdl.handle.net/11104/0189770 - 8.0347865 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Kuběna, Aleš Antonín
Pexeso ("Concentration game") as an arbiter of bounded-rationality models.
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. České Budějovice: University of South Bohemia, 2010 - (Houda, M.; Friebelová, J.), s. 337-380. ISBN 978-80-7394-218-2.
[28-th International Conference on Mathematical Methods in Economics. České Budějovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : Concentration game * pexeso * perfect players
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kubena-pexeso (concentration game) as an arbiter of bounded-rationality models.pdf
Permanent Link: http://hdl.handle.net/11104/0188542 - 9.0347859 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Báťa, Karel - Šmíd, Martin
Equity home bias in the Czech Republic.
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. České Budějovice: University of South Bohemia, 2010 - (Houda, M.; Friebelová, J.), s. 18-23. ISBN 978-80-7394-218-2.
[28-th International Conference on Mathematical Methods in Economics. České Budějovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : Equity home bias * optimal investment portfolio * behavioral finance
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/bata-0347859.pdf
Permanent Link: http://hdl.handle.net/11104/0188538 - 10.0347765 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Baruník, Jozef - Vácha, Lukáš - Krištoufek, Ladislav
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data.
28th International Conference on Mathematical Methods in Economics 2010. Vol. Part II. České Budějovice: University of South Bohemia in České Budějovice, Faculty of Economy, 2010 - (Houda, M.; Friebelová, J.), s. 12-17. ISBN 978-80-7394-218-2.
[Mathematical Methods in Economics 2010. České Budějovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GP402/08/P207
Institutional research plan: CEZ:AV0Z10750506
Keywords : comovement * contagion * wavelet analysis * wavelet coherence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/barunik-0347765.pdf
Permanent Link: http://hdl.handle.net/11104/0188468