Search results
- 1.0395886 - ÚTIA 2014 RIV CZ eng C - Conference Paper (international conference)
Krištoufek, Ladislav - Vošvrda, Miloslav
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy.
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013. Jihlava: College of Polytechnics Jihlava, 2013 - (Vojáčková, H.), s. 470-475. ISBN 978-80-87035-76-4.
[MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./. Jihlava (CZ), 11.09.2013-13.09.2013]
R&D Projects: GA ČR GA402/09/0965
Grant - others:MŠk(CZ) SVV265504
Institutional support: RVO:67985556
Keywords : capital market efficiency * long-range dependence * fractal dimension * approximate entropy
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/kristoufek-measuring capital market efficienci long-term memory fractal dimension and approximate entropy.pdf
Permanent Link: http://hdl.handle.net/11104/0223789 - 2.0381818 - ÚTIA 2013 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Measuring capital market efficiency: Global and local correlations structure.
Physica. A : Statistical Mechanics and its Applications. Roč. 392, č. 1 (2013), s. 184-193. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Capital market efficiency * Fractal dimension * Long-range dependence * Short-range dependence
Subject RIV: AH - Economics
Impact factor: 1.722, year: 2013
http://library.utia.cas.cz/separaty/2012/E/kristoufek-measuring capital market efficiency global and local correlations structure.pdf
Permanent Link: http://hdl.handle.net/11104/0212200 - 3.0377209 - ÚTIA 2013 RIV CZ cze J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie.
[Capital Markets Efficiency: Fractal Dimension, Hurst Exponent and Entropy.]
Politická ekonomie. Roč. 60, č. 2 (2012), s. 208-221. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR GA402/09/0965
Institutional support: RVO:67985556
Keywords : capital markets efficiency * fractal dimension * long-range dependence * entropy
Subject RIV: AH - Economics
Impact factor: 0.722, year: 2012
http://library.utia.cas.cz/separaty/2012/E/kristoufek-capital markets efficiency fractal dimension hurst exponent and entropy.pdf
Permanent Link: http://hdl.handle.net/11104/0209434 - 4.0367954 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Krištoufek, Ladislav
Multifractal Height Cross-Correlation Analysis.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 1-19. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Jánska Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant - others:GAUK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : cross-correlations * multifractality * long-range dependence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf
Permanent Link: http://hdl.handle.net/11104/0202449 - 5.0349571 - ÚTIA 2011 GB eng J - Journal Article
Krištoufek, Ladislav
On spurious anti-persistence in the US stock indices.
Chaos Solitons & Fractals. Roč. 43, č. 1 (2010), s. 68-78. ISSN 0960-0779. E-ISSN 1873-2887
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : econophysics * long-range dependence
Subject RIV: AH - Economics
Impact factor: 1.267, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kristoufek-on spurious anti-persistence in the us stock indices.pdf
Permanent Link: http://hdl.handle.net/11104/0189771 - 6.0349301 - ÚTIA 2011 RIV CZ eng J - Journal Article
Krištoufek, Ladislav
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals.
AUCO Czech Economic Review. 4/2010, č. 3 (2010), s. 236-250. ISSN 1802-4696
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : rescaled range analysis * detrended fluctuation analysis * Hurst exponent * long-range dependence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-rescaled range analysis and detrended fluctuation analysis finite sample properties and confidence intervals.pdf
Permanent Link: http://hdl.handle.net/11104/0189575 - 7.0348351 - ÚTIA 2011 RIV CZ cze J - Journal Article
Krištoufek, Ladislav
Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009.
[Long-term memory and its evolution in returns of stock index PX between 1997 and 2009.]
Politická ekonomie. Roč. 58, č. 4 (2010), s. 471-478. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR GD402/09/H045
Grant - others:GAUK(CZ) GAUK 118310; MŠMT(CZ) MŠMT 0021620841
Institutional research plan: CEZ:AV0Z10750506
Keywords : econophysics * long-range dependence * time series analysis * rescaled range * periodogram
Subject RIV: AH - Economics
Impact factor: 0.650, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-term memory and its evolution in returns of stock index px between 1997 and 2009.pdf
Permanent Link: http://hdl.handle.net/11104/0188905 - 8.0343542 - ÚTIA 2011 CZ eng V - Research Report
Krištoufek, Ladislav
Multifractal height cross-correlation analysis.
Praha: ÚTIA AV ČR, 2010. 17 s. Research Report, 2281.
R&D Projects: GA ČR(CZ) GD402/09/H045; GA ČR(CZ) GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : multifractality * long-range dependence * cross-correlations
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-multifractal height cross-correlation analysis.pdf
Permanent Link: http://hdl.handle.net/11104/0185995File Download Size Commentary Version Access 0343542.pdf 1 891 KB Other open-access - 9.0343070 - ÚTIA 2011 RIV CZ eng J - Journal Article
Krištoufek, Ladislav
Long-range dependence in returns and volatility of Central European Stock Indices.
Bulletin of the Czech Econometric Society. Roč. 17, č. 27 (2010), s. 50-67. ISSN 1212-074X
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 5183/2010
Institutional research plan: CEZ:AV0Z10750506
Keywords : long-range dependence * bootstrapping * rescaled range analysis * rescaled variance analysis
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-range dependence in returns and volatility of central european stock indices bces.pdf
Permanent Link: http://hdl.handle.net/11104/0185633 - 10.0339325 - ÚTIA 2010 CZ eng J - Journal Article
Krištoufek, Ladislav
Long-range dependence in returns and volatility of Central European Stock Indices.
IES Working Papers. Roč. 2010, č. 3 (2010), s. 1-19
R&D Projects: GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : long-range dependence * rescaled range * modified rescaled range * bootstrapping
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-range dependence in returns and volatility of central european stock indices.pdf
Permanent Link: http://hdl.handle.net/11104/0182884