Search results
- 1.0441288 - NHÚ 2015 DE eng V - Research Report
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?.
Kiel: Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, 2014. 28 s. FinMaP-Working Papers, 13.
R&D Projects: GA ČR(CZ) GA14-24129S
Institutional support: RVO:67985998 ; RVO:67985556
Keywords : volatility * spillovers * financial markets
Subject RIV: AH - Economics
http://hdl.handle.net/10419/102277
Permanent Link: http://hdl.handle.net/11104/0244325 - 2.0333549 - ÚTIA 2010 CZ eng V - Research Report
Baruník, Jozef - Vácha, Lukáš - Vošvrda, Miloslav
Power Law Behavior of the Central European Stock Markets During the Financial Crisis.
[Chování středoevropských trhů počas finanční krize.]
Praha: ÚTIA AV ČR, 2009. 17 s. Research Report, 2268.
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GP402/08/P207
Institutional research plan: CEZ:AV0Z10750506
Keywords : power law * stock markets * stable probability distribution
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0178500 - 3.0333548 - ÚTIA 2010 CZ eng V - Research Report
Baruník, Jozef - Krištoufek, Ladislav
On Hurst exponent estimation under heavy-tailed distributions.
[Výběrové vlastnosti Odhadů Hurstova exponentu na datech s težkými chvosty.]
Praha: ÚTIA AV ČR, 2009. 14 s. Research Report, 2267.
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GAUK(CZ) 46108
Institutional research plan: CEZ:AV0Z10750506
Keywords : Hurst exponent * heavy tails * detrended fluctuation analysis * rescaled range method
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0178499 - 4.0333545 - ÚTIA 2010 CZ eng V - Research Report
Baruník, Jozef - Baruníková, M.
Neural Networks as Semiparametric Option Pricing Tool.
[Neuronové Sítě jako semiparametrická metoda oceňování opcí.]
Praha: ÚTIA AV ČR, 2009. 16 s. Research Report, 2266.
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : option valuation * neural network * S&P 500 index options
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0178497 - 5.0314142 - 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 - 6.0314140 - 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 - 7.0314139 - 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 - 8.0314138 - ÚTIA 2009 CZ eng V - Research Report
Vácha, Lukáš - Baruník, Jozef
Wavelet Neural Networks Prediction of Central European Stock Markets.
Praha: ÚTIA AV ČR, 2008. 7 s. Research Reports, 2225.
R&D Projects: GA ČR GP402/08/P207; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : neural networks * hard threshold denoising * time series prediction
Subject RIV: BC - Control Systems Theory
Permanent Link: http://hdl.handle.net/11104/0164746