Search results
- 1.0490253 - NHÚ 2019 RIV GB eng J - Journal Article
Novotný, Jan - Urga, G.
Testing for co-jumps in financial markets.
Journal of Financial Econometrics. Roč. 16, č. 1 (2018), s. 118-128. ISSN 1479-8409. E-ISSN 1479-8417
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : co-features * Dow Jones Industrial Average 30 index * jumps and co-jumps
OECD category: Applied Economics, Econometrics
Impact factor: 1.902, year: 2018
Permanent Link: http://hdl.handle.net/11104/0284517 - 2.0463780 - NHÚ 2017 RIV NL eng J - Journal Article
Lavička, H. - Lichard, Tomáš - Novotný, Jan
Sand in the wheels or wheels in the sand? Tobin taxes and market crashes.
International Review of Financial Analysis. Roč. 47, October (2016), s. 328-342. ISSN 1057-5219. E-ISSN 1873-8079
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : price jumps * financial transaction taxes * agent-based modeling
Subject RIV: AH - Economics
Impact factor: 1.457, year: 2016
Permanent Link: http://hdl.handle.net/11104/0262864 - 3.0459009 - ÚTIA 2017 RIV CZ cze J - Journal Article
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
Shluková analýza skoků na kapitálových trzích.
[Cluster Analysis of Jumps on Capital Markets.]
Politická ekonomie. Roč. 64, č. 2 (2016), s. 127-144. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985556 ; RVO:67985998
Keywords : price jumps measures * nonparametric testing * cluster analysis * financial econometrics * Basel agreements
Subject RIV: AH - Economics
Impact factor: 0.589, year: 2016
http://library.utia.cas.cz/separaty/2016/E/kocenda-0459009.pdf
Permanent Link: http://hdl.handle.net/11104/0259452 - 4.0454929 - NHÚ 2016 RIV CA eng J - Journal Article
Bergamelli, M. - Novotný, Jan - Urga, G.
Maximum non-extensive entropy block bootstrap for non-stationary processes.
Actualite Economique. Roč. 91, 1/2 (2015), s. 115-139. ISSN 0001-771X
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : maximum entropy * bootstrap * Monte Carlo simulations
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0255594 - 5.0445748 - NHÚ 2016 RIV NL eng J - Journal Article
Novotný, Jan - Petrov, D. - Urga, G.
Trading price jump clusters in foreign exchange markets.
Journal of Financial Markets. Roč. 24, June (2015), s. 66-92. ISSN 1386-4181. E-ISSN 1878-576X
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : price jumps * foreign exchange markets * trading
Subject RIV: AH - Economics
Impact factor: 1.726, year: 2015
Permanent Link: http://hdl.handle.net/11104/0247810 - 6.0439494 - NHÚ 2015 RIV NL eng J - Journal Article
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
Price jumps on European stock markets.
Borsa Istanbul Review. Roč. 14, č. 1 (2014), s. 10-22. ISSN 2214-8450. E-ISSN 2214-8469
Institutional support: RVO:67985998
Keywords : stock markets * price jump indicators * non-parametric testing
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0244259