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- 1.0314961 - ÚTIA 2009 CZ eng V - Research Report
Kuchyňka, Alexandr
Volatility extraction using the Kalman filter.
[Extrakce volatility pomocí Kalmanova filtru.]
Praha: IES FSV UK, 2008. 20 s. Research Report, 10.
R&D Projects: GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : volatility * Kalman filter
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/kuchynka-volatility extraction using the kalman filter.pdf
Permanent Link: http://hdl.handle.net/11104/0165316File Download Size Commentary Version Access 0314961.pdf 1 438.9 KB Other open-access - 2.0314142 - ÚTIA 2009 CZ eng V - Research Report
Baruník, Jozef - Vošvrda, Miloslav
Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling.
Praha: ÚTIA AV ČR, 2008. 9 s. Research Report, 2223.
R&D Projects: GA ČR(CZ) GA402/06/1417; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : cusp catastrophe * bifurcations * singularity
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0164750 - 3.0314140 - ÚTIA 2009 CZ eng V - Research Report
Vácha, Lukáš - Baruník, Jozef - Vošvrda, Miloslav
Smart Predictors in the Heterogeneous Agent Model.
Praha: ÚTIA AV ČR, 2008. 11 s. Research Report, 2222.
R&D Projects: GA ČR GP402/08/P207; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : heterogeneous agent model * market structure * smart traders
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0164748 - 4.0314139 - ÚTIA 2009 CZ eng V - Research Report
Vácha, Lukáš - Baruník, Jozef - Vošvrda, Miloslav
Sentiment Patterns in the Heterogeneous Agent Model.
Praha: ÚTIA AV ČR, 2008. 10 s. Research Report, 2224.
R&D Projects: GA ČR GP402/08/P207; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : heterogeneous agent model * market structure * smart traders
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0164747