Search results
- 1.0459155 - NHU-C 2017 CZ eng V - Research Report
Gupta, M. - Novotný, Jan
The dynamics of value comovement across global equity markets.
Prague: CERGE-EI, 2016. 31 s. CERGE-EI Working Paper Series, 560. ISSN 1211-3298
Institutional support: PRVOUK-P23
Keywords : asset pricing * price-earning ratio * financial crisis
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp560.pdf
Permanent Link: http://hdl.handle.net/11104/0259394 - 2.0450079 - NHU-C 2016 eng V - Research Report
Bergamelli, M. - Novotný, Jan - Urga, G.
Maximum non-extensive entropy block bootstrap for non-stationary processes.
2014. 28 s.
Institutional support: PRVOUK-P23
Keywords : maximum entropy * bootstrap * Monte Carlo simulations
Subject RIV: AH - Economics
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2588500
Permanent Link: http://hdl.handle.net/11104/0251491 - 3.0447463 - NHU-C 2016 US eng V - Research Report
Novotný, Jan - Gupta, M.
The dynamics of value across global equity markets: the risk contagion.
Rochester, N.Y: SSRN, 2015. 27 s.
Institutional support: PRVOUK-P23
Keywords : cyclically-adjusted price earning (CAPE) * portfolio diversification * asset mispricing
Subject RIV: AH - Economics
http://ssrn.com/abstract=2589026
Permanent Link: http://hdl.handle.net/11104/0251476 - 4.0441234 - NHU-C 2015 GB eng V - Research Report
Boffelli, S. - Novotný, Jan - Urga, G.
A frequency-specific factorization to identify commonalities with an application to the European bond markets.
London: Centre For Econometric Analysis, Cass Business School, Faculty of Finance, 2014. 62 s. CEA@Cass Working Paper Series, WP–CEA–04a-2014.
Institutional support: PRVOUK-P23
Keywords : arrivals * jumps * co-arrivals
Subject RIV: AH - Economics
http://www.cass.city.ac.uk/__data/assets/pdf_file/0007/246526/04a-2014.pdf
Permanent Link: http://hdl.handle.net/11104/0244316 - 5.0428142 - NHU-C 2015 CZ eng V - Research Report
Lavička, H. - Lichard, Tomáš - Novotný, Jan
Sand in the wheels or wheels in the sand? Tobin taxes and market crashes.
Prague: CERGE-EI, 2014. 39 s. CERGE-EI Working Paper Series, 511. ISSN 1211-3298
Grant - others:UK(CZ) GAUK 586112
Institutional support: PRVOUK-P23
Keywords : price jumps * financial transaction taxes * agent-based modeling
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp511.pdf
Permanent Link: http://hdl.handle.net/11104/0233636File Download Size Commentary Version Access Wp511.pdf 0 831.6 KB Publisher’s postprint open-access - 6.0421411 - NHU-C 2014 US eng V - Research Report
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
Price jumps on European stock markets.
Ann Arbor: The William Davidson Institute at the University of Michigan Business School, 2013. 29 s. William Davidson Institute Working Paper Series, 1059.
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 : European stock markets * price jump indicators * non-parametric testing
Subject RIV: AH - Economics
http://wdi.umich.edu/files/publications/workingpapers/wp1059.pdf
Permanent Link: http://hdl.handle.net/11104/0227754 - 7.0395639 - NHU-C 2014 US eng V - Research Report
Novotný, Jan - Hanousek, Jan - Kočenda, Evžen
Price jump indicators: stock market empirics during the crisis.
Ann Arbor: The William Davidson Institute at the University of Michigan Business School, 2013. 32 s. William Davidson Institute Working Paper Series, 1050.
R&D Projects: GA ČR(CZ) GBP402/12/G097; GA ČR(CZ) GAP403/11/0020
Grant - others:UK(CZ) UNCE 204005/2012
Institutional support: PRVOUK-P23
Keywords : stock markets * price jump indicators * non-parametric testing
Subject RIV: AH - Economics
http://wdi.umich.edu/files/publications/workingpapers/wp1050.pdf
Permanent Link: http://hdl.handle.net/11104/0223738 - 8.0392801 - NHU-C 2014 CZ eng V - Research Report
Lavička, H. - Lichard, Tomáš - Novotný, Jan
Sand in the wheels or the wheels in sand? Tobin taxes and market crashes.
Praha: CERGE-EI, 2013. 28 s. CERGE-EI discussion paper series, 2013 - 220.
Grant - others:UK(CZ) GAUK 586112
Institutional support: PRVOUK-P23
Keywords : price jumps * financial transaction taxes * agent-based modeling
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0221808 - 9.0359357 - NHU-C 2012 CZ eng V - Research Report
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
The identification of price jumps.
Prague: CERGE-EI, 2011. 48 s. CERGE-EI Working Paper Series, 434. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GAP403/11/0020; GA MŠMT LC542
Institutional research plan: CEZ:MSM0021620846
Keywords : price jumps * price-jump indicators * non-parametric testing
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp434.pdf
Permanent Link: http://hdl.handle.net/11104/0197157 - 10.0356764 - NHU-C 2012 CZ eng V - Research Report
Novotný, Jan
Panic at the gates: the effect of the collapse of Lehman Brothers at the Prague Stock Exchange.
Praha: CERGE-EI, 2011. 26 s. CERGE-EI discussion paper series, 2011 – 214.
R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠMT SVV 263801/2011
Grant - others:UK(CZ) GAUK 271111
Institutional research plan: CEZ:MSM0021620846
Keywords : price jump behavior * Lehman Brothers' collapse * Prague Stock Exchange
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0195200