Search results
- 1.0456186 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Hlínková, M.
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression.
Economic Modelling. Roč. 54, č. 1 (2016), s. 503-514. ISSN 0264-9993. E-ISSN 1873-6122
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : wavelet band spectrum regression * corridor implied volatility * realized volatility * fractional cointegration
Subject RIV: AH - Economics
Impact factor: 1.463, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456186.pdf
Permanent Link: http://hdl.handle.net/11104/0260443 - 2.0454752 - NHU-C 2016 RIV US eng J - Journal Article
Kmenta, Jan
Time series econometrics: a critique.
Open Journal of Applied Sciences. Roč. 5, č. 12 (2015), s. 841-843. ISSN 2165-3917
Institutional support: PRVOUK-P23
Keywords : time series econometrics * trends * cointegration
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0255401 - 3.0452312 - ÚTIA 2016 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Luňáčková, P.
Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets.
Energy Economics. Roč. 49, č. 1 (2015), s. 1-8. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR(CZ) GP14-11402P
Grant - others:GA ČR(CZ) GAP402/11/0948
Program: GA
Institutional support: RVO:67985556
Keywords : Rockets and feathers * Asymmetry * Gasoline * Crude oil * Cointegration
Subject RIV: AH - Economics
Impact factor: 2.862, year: 2015
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452312.pdf
Permanent Link: http://hdl.handle.net/11104/0253706 - 4.0434888 - ÚTIA 2016 RIV NL eng J - Journal Article
Baruník, Jozef - Dvořáková, S.
An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices.
Economic Modelling. Roč. 45, č. 1 (2015), s. 193-206. ISSN 0264-9993. E-ISSN 1873-6122
R&D Projects: GA ČR(CZ) GBP402/12/G097
Keywords : fractional cointegration * long memory * range * volatility * daily high and low prices
Subject RIV: AH - Economics
Impact factor: 0.997, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434888.pdf
Permanent Link: http://hdl.handle.net/11104/0239121 - 5.0411502 - UTIA-B 20050232 RIV SK eng C - Conference Paper (international conference)
Komorníková, Magda - Komorník, J.
Multivariate modeling of exchange rates of Visegrad Countries currencies to Euro.
[Mnohorozmerné modelovanie výmenných kurzov krajín Vyšehradskej štvorky k Euro.]
Bratislava: Slovak Statistical and Demographical Society, 2004. ISBN 80-88946-36-0. In: Proceedings of the Conference PRASTAN 2004. - (Kalina, M.; Minárová, M.; Nánásiová, O.), s. 37-50
[PRASTAN 2004. Kočovce (SK), 17.05.2004-21.05.2004]
R&D Projects: GA ČR GA402/04/1026
Institutional research plan: CEZ:AV0Z1075907
Keywords : multivariate time series * stochastic trends * common trend * cointegration
Subject RIV: BA - General Mathematics
Permanent Link: http://hdl.handle.net/11104/0131582 - 6.0411245 - UTIA-B 20030232 CZ eng V - Research Report
Žikeš, Filip
The Predictability of Asset Returns: An Empirical Analysis of Central-European Stock Markets.
Praha: ÚTIA AV ČR, 2003. 79 s. Research Report, 2093.
Grant - others:GA UK(CZ) 287/2003/A-EK/FSV
Institutional research plan: CEZ:AV0Z1075907
Keywords : emerging markets * predictability of stock returns * cointegration
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131330 - 7.0326705 - NHÚ 2010 RIV US eng J - Journal Article
Mikhed, V. - Zemčík, Petr
Do house prices reflect fundamentals? Aggregate and panel data evidence.
Journal of Housing Economics. Roč. 18, č. 2 (2009), s. 140-149. ISSN 1051-1377. E-ISSN 1096-0791
R&D Projects: GA MŠMT LC542
Institutional research plan: CEZ:AV0Z70850503
Keywords : house prices * panel data * cointegration
Subject RIV: AH - Economics
Impact factor: 0.946, year: 2009
Permanent Link: http://hdl.handle.net/11104/0173723File Download Size Commentary Version Access 0326705_IR.pdf 0 774.5 KB Author’s postprint require - 8.0326418 - NHÚ 2010 RIV US eng J - Journal Article
Mikhed, V. - Zemčík, Petr
Testing for bubbles in housing markets: a panel data approach.
Journal of Real Estate Finance and Economics. Roč. 38, č. 4 (2009), s. 366-386. ISSN 0895-5638. E-ISSN 1573-045X
R&D Projects: GA MŠMT LC542
Institutional research plan: CEZ:AV0Z70850503
Keywords : house prices * cointegration * panel data
Subject RIV: AH - Economics
Impact factor: 0.659, year: 2009
Permanent Link: http://hdl.handle.net/11104/0173527 - 9.0106384 - UTIA-B 20040196 RIV SK eng C - Conference Paper (international conference)
Komorník, J. - Komorníková, Magda
Changes in relations betwee exchange rates of currencies of Visegrad countries to Euro.
[Změny ve vztahu měnových kursů měn zemí Višegrádské čtyřky.]
Zborník z 12. Slovenskej štatistickej konferencie Štatistika a integrácia. Bratislava: SŠDS, 2004 - (Vrábľová, B.; Chajdiak, J.; Luha, J.), s. 51-55. ISBN 80-88946-37-9.
[Slovenská štatistická konferencia Štatistika a integrácia /12./. Bardejov (SK), 04.10.2004-06.10.2004]
R&D Projects: GA ČR GA402/04/1026
Institutional research plan: CEZ:AV0Z1075907
Keywords : multidimensional time series * stochastic trend * cointegration relation
Subject RIV: BA - General Mathematics
Permanent Link: http://hdl.handle.net/11104/0013566 - 10.0104313 - NHU-N 20043151 RIV US eng J - Journal Article
Černý, Alexandr - Koblas, M.
Stock market integration and the speed of information transmission: the role of data frequency in cointegration and Granger causality tests.
[Integrace akciového trhu a rychlost přenosu informací - úloha četnosti dat v kointegraci a Grangerových testech kauzality.]
Journal of International Business and Economics. Roč. 1, č. 1 (2004), s. 110-120. ISSN 1544-8037
Institutional research plan: CEZ:AV0Z7085904
Keywords : stock market integration * speed of information transmission * data frequency in cointegration and Granger causality tests
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0011587