Search results
- 1.0507284 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Efficient market hypothesis * Gold * Currencies * Fractal dimension * Entropy * Long-term memory
OECD category: Finance
Impact factor: 2.243, year: 2016
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507284.pdf https://www.sciencedirect.com/science/article/pii/S0378437115011036
Permanent Link: http://hdl.handle.net/11104/0298750 - 2.0507282 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Herding, minority game, market clearing and efficient markets in a simple spin model framework.
Communications in Nonlinear Science and Numerical Simulation. Roč. 54, č. 1 (2018), s. 148-155. ISSN 1007-5704. E-ISSN 1878-7274
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Ising model * Efficient market hypothesis * Monte Carlo simulation
OECD category: Applied Economics, Econometrics
Impact factor: 3.967, year: 2018
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507282.pdf https://www.sciencedirect.com/science/article/pii/S1007570417301867
Permanent Link: http://hdl.handle.net/11104/0298753 - 3.0478480 - ÚTIA 2018 RIV US eng J - Journal Article
Kraicová, Lucie - Baruník, Jozef
Estimation of long memory in volatility using wavelets.
Studies in Nonlinear Dynamics and Econometrics. Roč. 21, č. 3 (2017), č. článku 20160101. ISSN 1081-1826. E-ISSN 1558-3708
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : long memory * wavelets * whittle
OECD category: Applied Economics, Econometrics
Impact factor: 0.855, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478480.pdf
Permanent Link: http://hdl.handle.net/11104/0274595 - 4.0456184 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Křehlík, Tomáš - Vácha, Lukáš
Modeling and forecasting exchange rate volatility in time-frequency domain.
European Journal of Operational Research. Roč. 251, č. 1 (2016), s. 329-340. ISSN 0377-2217. E-ISSN 1872-6860
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Realized GARCH * Wavelet decomposition * Jumps * Multi-period-ahead volatility forecasting
Subject RIV: AH - Economics
Impact factor: 3.297, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf
Permanent Link: http://hdl.handle.net/11104/0260444 - 5.0434203 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.
Quantitative Finance. Roč. 15, č. 8 (2015), s. 1347-1364. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Grant - others:GA ČR(CZ) GA13-24313S
Institutional support: RVO:67985556
Keywords : quadratic variation * realized variance * jumps * market microstructure noise * wavelets
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434203.pdf
Permanent Link: http://hdl.handle.net/11104/0238359 - 6.0434202 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Kukačka, Jiří
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.
Quantitative Finance. Roč. 15, č. 6 (2015), s. 959-973. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf
Permanent Link: http://hdl.handle.net/11104/0238360 - 7.0434201 - ÚTIA 2018 RIV US eng J - Journal Article
Žikeš, F. - Baruník, Jozef - Shenai, N.
Modeling and Forecasting Persistent Financial Durations.
Econometric Reviews. Roč. 36, č. 10 (2017), s. 1081-1110. ISSN 0747-4938. E-ISSN 1532-4168
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : price durations * long memory * multifractal models * realized volatility * Whittle estimation
OECD category: Applied Economics, Econometrics
Impact factor: 1.218, year: 2017
http://library.utia.cas.cz/separaty/2014/E/barunik-0434201.pdf
Permanent Link: http://hdl.handle.net/11104/0238358 - 8.0434200 - ÚTIA 2017 RIV GB eng J - Journal Article
Žikeš, F. - Baruník, Jozef
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.
Journal of Financial Econometrics. Roč. 14, č. 1 (2016), s. 185-226. ISSN 1479-8409. E-ISSN 1479-8417
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : conditional quantiles * quantile regression * realized measures * value-at-risk
Subject RIV: AH - Economics
Impact factor: 1.800, year: 2016
http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf
Permanent Link: http://hdl.handle.net/11104/0238364