Search results
- 1.0549034 - NHU-C 2022 CZ eng V - Research Report
Nezafat, M. - Slavík, Ctirad
Asset prices and business cycles with liquidity shocks.
Prague: CERGE-EI, 2021. 49 s. CERGE-EI Working Paper Series, 711. ISSN 1211-3298
Institutional support: Progres-Q24
Keywords : general equilibrium * business cycles * production based asset pricing
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp711.pdf
Permanent Link: http://hdl.handle.net/11104/0325074 - 2.0549031 - NHÚ 2022 RIV CZ eng V - Research Report
Nezafat, M. - Slavík, Ctirad
Asset prices and business cycles with liquidity shocks.
Prague: CERGE-EI, 2021. 49 s. CERGE-EI Working Paper Series, 711. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : general equilibrium * business cycles * production based asset pricing
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp711.pdf
Permanent Link: http://hdl.handle.net/11104/0325072 - 3.0505020 - NHU-C 2020 RIV CZ cze J - Journal Article
Antoch, J. - Hušková, M. - Hanousek, Jan - Trešl, Jiří
Detekce změn v panelových datech: změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize.
[Detection of changes in panel data: change in Fama-French model parameters for selected European stocks during the financial crisis.]
Politická ekonomie. Roč. 67, č. 1 (2019), s. 3-19. ISSN 0032-3233. E-ISSN 0032-3233
Institutional support: Progres-Q24
Keywords : asset pricing * change point detection * Fama-French four-factor model
OECD category: Finance
Impact factor: 0.351, year: 2019
Method of publishing: Open access
https://polek.vse.cz/pdfs/pol/2019/01/01.pdf
Permanent Link: http://hdl.handle.net/11104/0296546 - 4.0497836 - ÚTIA 2019 RIV DE eng J - Journal Article
Krištoufek, Ladislav - Ferreira, P.
Capital asset pricing model in Portugal: Evidence from fractal regressions.
Portuguese Economic Journal. Roč. 17, č. 3 (2018), s. 173-183. ISSN 1617-982X. E-ISSN 1617-9838
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Capital asset pricing model * Detrended cross-correlation analysis * Detrending moving-average cross-correlation analysis * Fractal regressions * Portugal
OECD category: Applied Economics, Econometrics
Impact factor: 0.500, year: 2018
http://library.utia.cas.cz/separaty/2018/E/kristoufek-0497836.pdf
Permanent Link: http://hdl.handle.net/11104/0290650 - 5.0497835 - ÚTIA 2019 RIV GB eng J - Journal Article
Krištoufek, Ladislav
Fractality in market risk structure: Dow Jones Industrial components case.
Chaos Solitons & Fractals. Roč. 110, č. 1 (2018), s. 69-75. ISSN 0960-0779. E-ISSN 1873-2887
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Capital asset pricing model * Scaling * Detrended cross-correlation analysis * Detrending moving-average cross-correlation analysis
OECD category: Applied Economics, Econometrics
Impact factor: 3.064, year: 2018
http://library.utia.cas.cz/separaty/2018/E/kristoufek-0497835.pdf
Permanent Link: http://hdl.handle.net/11104/0290651 - 6.0466430 - NHU-C 2017 RIV GB eng M - Monography Chapter
Novotný, Jan - Gupta, A.
The dynamics of value comovement across global equity markets.
Risk management in emerging markets: issues, framework, and modeling. Bingley: Emerald, 2016 - (Boubaker, S.; Buchanan, B.; Nguyen, D.), s. 79-120. ISBN 978-1-78635-452-5
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: PRVOUK-P23
Keywords : asset pricing * financial crisis * value portfolio
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0265147 - 7.0459156 - NHÚ 2019 RIV 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
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : asset pricing * price-earning ratio * financial crisis
OECD category: Finance
http://www.cerge-ei.cz/pdf/wp/Wp560.pdf
Permanent Link: http://hdl.handle.net/11104/0259395 - 8.0459155 - 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 - 9.0443746 - NHÚ 2016 CZ eng V - Research Report
Matějů, Jakub
Limited liability, asset price bubbles and the credit cycle: the role of monetary policy.
Prague: CERGE-EI, 2015. 34 s. CERGE-EI Working Paper Series, 535. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : credit cycle * limited liability * non-fundamental asset pricing
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp535.pdf
Permanent Link: http://hdl.handle.net/11104/0248025File Download Size Commentary Version Access Wp535.pdf 0 685.2 KB Publisher’s postprint open-access - 10.0443608 - NHU-C 2016 CZ eng V - Research Report
Matějů, Jakub
Limited liability, asset price bubbles and the credit cycle: the role of monetary policy.
Prague: CERGE-EI, 2015. 34 s. CERGE-EI Working Paper Series, 535. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GBP402/12/G097
Grant - others:UK(CZ) GAUK 534812
Institutional support: PRVOUK-P23
Keywords : credit cycle * limited liability * non-fundamental asset pricing
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp535.pdf
Permanent Link: http://hdl.handle.net/11104/0246416