Search results
- 1.0496049 - NHU-C 2019 RIV GB eng J - Journal Article
Novotný, Jan - Urga, G.
Testing for co-jumps in financial markets.
Journal of Financial Econometrics. Roč. 16, č. 1 (2018), s. 118-128. ISSN 1479-8409. E-ISSN 1479-8417
Institutional support: Progres-Q24
Keywords : co-features * Dow Jones Industrial Average 30 index * jumps and co-jumps
OECD category: Applied Economics, Econometrics
Impact factor: 1.902, year: 2018
Permanent Link: http://hdl.handle.net/11104/0288861 - 2.0468765 - NHU-C 2017 RIV NL eng J - Journal Article
Lavička, H. - Lichard, Tomáš - Novotný, Jan
Sand in the wheels or wheels in the sand? Tobin taxes and market crashes.
International Review of Financial Analysis. Roč. 47, October (2016), s. 328-342. ISSN 1057-5219. E-ISSN 1873-8079
Institutional support: PRVOUK-P23
Keywords : price jumps * financial transaction taxes * agent-based modeling
Subject RIV: AH - Economics
Impact factor: 1.457, year: 2016
Permanent Link: http://hdl.handle.net/11104/0266591 - 3.0467419 - NHU-C 2017 RIV CZ cze J - Journal Article
Hanousek, Jan - Kočenda, E. - Novotný, Jan
Shluková analýza skoků na kapitálových trzích.
[Cluster analysis of jumps on capital markets.]
Politická ekonomie. Roč. 64, č. 2 (2016), s. 127-144. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: PRVOUK-P23
Keywords : price jumps measures * nonparametric testing * cluster analysis
Subject RIV: AH - Economics
Impact factor: 0.589, year: 2016
Permanent Link: http://hdl.handle.net/11104/0265520 - 4.0455411 - NHU-C 2016 RIV CA eng J - Journal Article
Bergamelli, M. - Novotný, Jan - Urga, G.
Maximum non-extensive entropy block bootstrap for non-stationary processes.
Actualite Economique. Roč. 91, 1/2 (2015), s. 115-139. ISSN 0001-771X
Institutional support: PRVOUK-P23
Keywords : maximum entropy * bootstrap * Monte Carlo simulations
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0256027 - 5.0455373 - NHU-C 2016 RIV NL eng J - Journal Article
Novotný, Jan - Petrov, D. - Urga, G.
Trading price jump clusters in foreign exchange markets.
Journal of Financial Markets. Roč. 24, June (2015), s. 66-92. ISSN 1386-4181. E-ISSN 1878-576X
Institutional support: PRVOUK-P23
Keywords : price jumps * foreign exchange markets * trading
Subject RIV: AH - Economics
Impact factor: 1.726, year: 2015
Permanent Link: http://hdl.handle.net/11104/0255996 - 6.0428294 - NHU-C 2015 RIV NL eng J - Journal Article
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
Price jumps on European stock markets.
Borsa Istanbul Review. Roč. 14, č. 1 (2014), s. 10-22. ISSN 2214-8450. E-ISSN 2214-8469
R&D Projects: GA ČR(CZ) GAP403/11/0020; GA ČR(CZ) GBP402/12/G097
Grant - others:UK(CZ) UNCE 204005/2012
Institutional support: PRVOUK-P23
Keywords : stock markets * price jump indicators * non-parametric testing
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0233878 - 7.0428078 - NHU-C 2015 RIV CZ eng J - Journal Article
Lavička, H. - Novotný, Jan
Employment, production and consumption with random update: non-equilibrium stationary state equations.
Acta Polytechnica. Roč. 53, č. 6 (2013), s. 847-853. ISSN 1210-2709. E-ISSN 1805-2363
Institutional support: PRVOUK-P23
Keywords : multi-agent based model * equilibrium * Langevin equations
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0233901 - 8.0427915 - NHU-C 2015 RIV CZ cze J - Journal Article
Hanousek, J. - Novotný, Jan
Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě.
[Price jumps during financial crisis: from intuition to financial regulation.]
Politická ekonomie. Roč. 62, č. 1 (2014), s. 32-48. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR(CZ) GBP402/12/G097
Grant - others:UK(CZ) UNCE 204005/2012
Institutional support: PRVOUK-P23
Keywords : European emerging stock markets * Lehman Brothers * price jumps * financial crisis
Subject RIV: AH - Economics
Impact factor: 0.650, year: 2014
Permanent Link: http://hdl.handle.net/11104/0233339 - 9.0378639 - NHU-C 2013 RIV US eng J - Journal Article
Hanousek, Jan - Novotný, Jan
Price jumps in Visegrad-country stock markets: an empirical analysis.
Emerging Markets Review. Roč. 13, č. 2 (2012), s. 184-201. ISSN 1566-0141. E-ISSN 1873-6173
R&D Projects: GA ČR(CZ) GA402/08/1376
Grant - others:UK(CZ) GAUK 271111
Institutional support: PRVOUK-P23
Keywords : Central European stock markets * financial markets * price jumps
Subject RIV: AH - Economics
Impact factor: 1.167, year: 2012
Permanent Link: http://hdl.handle.net/11104/0210060 - 10.0377193 - NHU-C 2013 RIV DE eng J - Journal Article
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
The identification of price jumps.
Monte Carlo Methods and Applications. Roč. 18, č. 1 (2012), s. 53-77. ISSN 0929-9629
R&D Projects: GA ČR(CZ) GAP403/11/0020; GA ČR(CZ) GBP402/12/G097
Institutional support: PRVOUK-P23
Keywords : price jumps * non-parametric testing * financial econometrics
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0209422