Search results
- 1.0459156 - NHÚ 2019 RIV CZ eng V - Research Report
Gupta, M. - Novotný, Jan
The dynamics of value comovement across global equity markets.
Prague: CERGE-EI, 2016. 31 s. CERGE-EI Working Paper Series, 560. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : asset pricing * price-earning ratio * financial crisis
OECD category: Finance
http://www.cerge-ei.cz/pdf/wp/Wp560.pdf
Permanent Link: http://hdl.handle.net/11104/0259395 - 2.0449635 - NHÚ 2016 eng V - Research Report
Bergamelli, M. - Novotný, Jan - Urga, G.
Maximum non-extensive entropy block bootstrap for non-stationary processes.
2014. 28 s.
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : maximum entropy * bootstrap * Monte Carlo simulations
Subject RIV: AH - Economics
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2588500
Permanent Link: http://hdl.handle.net/11104/0251149 - 3.0447462 - NHÚ 2016 US eng V - Research Report
Novotný, Jan - Gupta, M.
The dynamics of value across global equity markets: the risk contagion.
Rochester, N.Y: SSRN, 2015. 27 s.
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : cyclically-adjusted price earning (CAPE) * portfolio diversification * asset mispricing
Subject RIV: AH - Economics
http://ssrn.com/abstract=2589026
Permanent Link: http://hdl.handle.net/11104/0249307 - 4.0438010 - NHÚ 2015 GB eng V - Research Report
Novotný, Jan - Urga, G.
Co-features in finance: co-arrivals and co-jumps.
London: Centre For Econometric Analysis, Cass Business School, Faculty of Finance, 2014. 53 s. CEA@Cass Working Paper Series, WP–CEA–09-2014.
Institutional support: RVO:67985998
Keywords : co-features * portfolio diversification * price jumps
Subject RIV: AH - Economics
http://www.cass.city.ac.uk/__data/assets/pdf_file/0003/246531/09-2014.pdf
Permanent Link: http://hdl.handle.net/11104/0241512 - 5.0437822 - NHÚ 2015 GB eng V - Research Report
Novotný, Jan - Petrov, D. - Urga, G.
Trading price jump clusters in foreign exchange markets.
London: Centre For Econometric Analysis, Cass Business School, Faculty of Finance, 2014. 53 s. CEA@Cass Working Paper Series, WP–CEA–08-2014.
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : price jumps * foreign exchange markets * profitable strategy
Subject RIV: AH - Economics
http://www.cass.city.ac.uk/__data/assets/pdf_file/0009/246546/08-2014.pdf
Permanent Link: http://hdl.handle.net/11104/0241314 - 6.0437784 - NHÚ 2015 RIV GB eng V - Research Report
Boffelli, S. - Novotný, Jan - Urga, G.
A frequency-specific factorization to identify commonalities with an application to the European bond markets.
London: Centre For Econometric Analysis, Cass Business School, Faculty of Finance, 2014. 62 s. CEA@Cass Working Paper Series, WP–CEA–04a-2014.
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : arrivals * jumps * co-arrivals
Subject RIV: AH - Economics
http://www.cass.city.ac.uk/__data/assets/pdf_file/0007/246526/04a-2014.pdf
Permanent Link: http://hdl.handle.net/11104/0241313 - 7.0421887 - NHÚ 2014 US eng V - Research Report
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
Price jumps on European stock markets.
Ann Arbor: The William Davidson Institute at the University of Michigan Business School, 2013. 29 s. William Davidson Institute Working Paper Series, 1059.
Institutional support: RVO:67985998
Keywords : European stock markets * price jump indicators * non-parametric testing
Subject RIV: AH - Economics
http://wdi.umich.edu/files/publications/workingpapers/wp1059.pdf
Permanent Link: http://hdl.handle.net/11104/0228144 - 8.0396413 - NHÚ 2014 CZ eng V - Research Report
Lavička, H. - Lichard, Tomáš - Novotný, Jan
Sand in the wheels or the wheels in sand? Tobin taxes and market crashes.
Praha: CERGE-EI, 2013. 28 s. CERGE-EI discussion paper series, 2013 - 220.
Institutional support: RVO:67985998
Keywords : price jumps * financial transaction taxes * agent-based modeling
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0224197 - 9.0371455 - NHÚ 2012 CZ eng V - Research Report
Novotný, Jan
Panic at the gates: the effect of the collapse of Lehman Brothers at the Prague Stock Exchange.
Praha: CERGE-EI, 2011. 26 s. CERGE-EI discussion paper series, 2011 – 214.
Institutional research plan: CEZ:AV0Z70850503
Keywords : price jump behavior * Lehman Brothers' collapse * Prague Stock Exchange
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0204965