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- 1.0545259 - NHÚ 2022 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Pyrlik, Vladimir
Shrinkage for Gaussian and t copulas in ultra-high dimensions.
Prague: CERGE-EI, 2021. 55 s. CERGE-EI Working Paper Series, 699. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : Gaussian copula * t copula * high dimensionality
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp699.pdf
Permanent Link: http://hdl.handle.net/11104/0322000 - 2.0521171 - NHÚ 2020 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Does index arbitrage distort the market reaction to shocks?.
Prague: CERGE-EI, 2019. 47 s. CERGE-EI Working Paper Series, 651. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : high-frequency data * stock market * ETF
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp651.pdf
Permanent Link: http://hdl.handle.net/11104/0305809File Download Size Commentary Version Access cerge-ei_Wp651.pdf 1 734.3 KB Publisher’s postprint open-access - 3.0490693 - NHÚ 2019 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Formation of market beliefs in the oil market.
Prague: CERGE-EI, 2018. 44 s. CERGE-EI Working Paper Series, 619. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : oil market * ultra high frequency data * trading intensity
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp619.pdf
Permanent Link: http://hdl.handle.net/11104/0284862