Search results
- 1.0533622 - ÚTIA 2021 RIV CH eng J - Journal Article
Avdulaj, Krenar - Krištoufek, Ladislav
On Tail Dependence and Multifractality.
Mathematics. Roč. 8, č. 10 (2020), č. článku 1767. E-ISSN 2227-7390
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : multifractality * tail dependence * serial correlation * copulas
OECD category: Economic Theory
Impact factor: 2.258, year: 2020
Method of publishing: Open access
http://library.utia.cas.cz/separaty/2020/E/kristoufek-0533622.pdf https://www.mdpi.com/2227-7390/8/10/1767
Permanent Link: http://hdl.handle.net/11104/0312007 - 2.0472346 - 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 - 3.0449080 - ÚTIA 2016 RIV NL eng J - Journal Article
Avdulaj, Krenar - Baruník, Jozef
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.
Energy Economics. Roč. 51, č. 1 (2015), s. 31-44. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR(CZ) GA13-24313S; GA ČR GA13-32263S
Institutional support: RVO:67985556
Keywords : Portfolio diversification * Dynamic correlations * High frequency data * Time-varying copulas * Commodities
Subject RIV: AH - Economics
Impact factor: 2.862, year: 2015
http://library.utia.cas.cz/separaty/2015/E/barunik-0449080.pdf
Permanent Link: http://hdl.handle.net/11104/0250755 - 4.0396417 - ÚTIA 2014 RIV CZ eng J - Journal Article
Avdulaj, Krenar - Baruník, Jozef
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 63, č. 5 (2013), s. 425-442. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : portfolio diversification * dynamic correlations * high frequency data * time-varying copulas
Subject RIV: AH - Economics
Impact factor: 0.358, year: 2013
http://library.utia.cas.cz/separaty/2013/E/avdulaj-0396417.pdf
Permanent Link: http://hdl.handle.net/11104/0224324