Search results
- 1.0507380 - ÚTIA 2020 CZ eng J - Journal Article
Voříšek, Jan
Estimating Stochastic Cusp Model Using Transition Density.
Bulletin of the Czech Econometric Society. Roč. 18, č. 28 (2011), s. 84-95. ISSN 1212-074X
R&D Projects: GA ČR GD402/09/H045
Institutional support: RVO:67985556
Keywords : Stochastic Catastrophe Model * Cusp Model of Economy * Transition Density
OECD category: Applied Economics, Econometrics
https://ideas.repec.org/a/czx/journl/v18y2011i28id172.html
Permanent Link: http://hdl.handle.net/11104/0298747 - 2.0385822 - ÚTIA 2013 RIV SK eng J - Journal Article
Gapko, Petr - Šmíd, Martin
Modeling a Distribution of Mortgage Credit Losses.
Ekonomický časopis. Roč. 60, č. 10 (2012), s. 1005-1023. ISSN 0013-3035. E-ISSN 0013-3035
R&D Projects: GA ČR GD402/09/H045; GA ČR(CZ) GBP402/12/G097
Grant - others:Univerzita Karlova(CZ) 46108
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : credit risk * mortgage * delinquency rate * generalized hyperbolic distribution * normal distribution
Subject RIV: AH - Economics
Impact factor: 0.194, year: 2012
http://library.utia.cas.cz/separaty/2013/E/smid-modeling a distribution of mortgage credit losses.pdf
Permanent Link: http://hdl.handle.net/11104/0216180 - 3.0376482 - ÚTIA 2013 RIV CZ eng J - Journal Article
Gapko, Petr - Šmíd, Martin
Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 62, č. 2 (2012), s. 125-140. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:Univerzita Karlova(CZ) GAUK 46108
Institutional research plan: CEZ:AV0Z10750506
Keywords : credit risk * probability of default * loss given default * credit loss * credit loss distribution * Basel II
Subject RIV: AH - Economics
Impact factor: 0.340, year: 2012
http://library.utia.cas.cz/separaty/2012/E/smid-dynamic multi-factor credit risk model with fat-tailed factors.pdf
Permanent Link: http://hdl.handle.net/11104/0208867 - 4.0367688 - ÚTIA 2012 RIV CZ eng J - Journal Article
Baruník, Jozef - Baruníková, M.
Neural Networks as Semiparametric Option Pricing Tool.
Bulletin of the Czech Econometric Society. Roč. 18, č. 28 (2011), s. 66-83. ISSN 1212-074X
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA ČR(CZ) GA402/09/0732
Institutional research plan: CEZ:AV0Z10750506
Keywords : option valuation * neural network * S&P 500 index options
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2011/E/barunik-0367688.pdf
Permanent Link: http://hdl.handle.net/11104/0202275 - 5.0367060 - ÚTIA 2012 CZ eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš - Krištoufek, Ladislav
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data.
IES Working Papers. Roč. 2011, č. 22 (2011), s. 1-22
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GAUK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : comovement * stock market * wavelet analysis * wavelet coherence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2011/E/barunik-0367060.pdf
Permanent Link: http://hdl.handle.net/11104/0201846 - 6.0367037 - ÚTIA 2012 RIV NL eng J - Journal Article
Vácha, Lukáš - Baruník, Jozef
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.
Energy Economics. Roč. 34, č. 1 (2012), s. 241-247. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : Correlation * Co-movement * Wavelet analysis * Wavelet coherence
Subject RIV: AH - Economics
Impact factor: 2.538, year: 2012
Permanent Link: http://hdl.handle.net/11104/0201831 - 7.0364573 - ÚTIA 2013 RIV GB eng J - Journal Article
Krištoufek, Ladislav
Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations.
EPL. Roč. 95, č. 6 (2011), 68001/1-68001/6. ISSN 0295-5075. E-ISSN 1286-4854
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : cross-correlations * multifractality
Subject RIV: AH - Economics
Impact factor: 2.171, year: 2011
http://library.utia.cas.cz/separaty/2011/E/kristoufek-0364573.pdf
Permanent Link: http://hdl.handle.net/11104/0200024 - 8.0361537 - ÚTIA 2012 RIV CZ eng J - Journal Article
Krtek, Jiří - Vošvrda, Miloslav
Comparing Neural Networks and ARMA Models in Artificial Stock Market.
Bulletin of the Czech Econometric Society. Roč. 18, č. 28 (2011), s. 53-65. ISSN 1212-074X
R&D Projects: GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : neural networks * vector ARMA * artificial market
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2011/E/krtek-comparing neural networks and arma models in artificial stock market.pdf
Permanent Link: http://hdl.handle.net/11104/0198831 - 9.0349713 - ÚTIA 2011 RIV CZ eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš - Vošvrda, Miloslav
Tail Behavior of the Central European Stock Markets during the Financial Crisis.
AUCO Czech Economic Review. Roč. 4, č. 3 (2010), s. 282-294. ISSN 1802-4696
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GP402/08/P207
Grant - others:GA MŠk(CZ) 0021620840
Institutional research plan: CEZ:AV0Z10750506
Keywords : Financial crisis * tail behavior * stock markets * stable probability distribution
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/barunik-0349713.pdf
Permanent Link: http://hdl.handle.net/11104/0189875 - 10.0349571 - ÚTIA 2011 GB eng J - Journal Article
Krištoufek, Ladislav
On spurious anti-persistence in the US stock indices.
Chaos Solitons & Fractals. Roč. 43, č. 1 (2010), s. 68-78. ISSN 0960-0779. E-ISSN 1873-2887
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : econophysics * long-range dependence
Subject RIV: AH - Economics
Impact factor: 1.267, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kristoufek-on spurious anti-persistence in the us stock indices.pdf
Permanent Link: http://hdl.handle.net/11104/0189771