Search results
- 1.0583793 - ÚTIA 2024 RIV US eng J - Journal Article
Bouri, E. - Shahzad, S. J. H. - Krištoufek, Ladislav
Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation.
Financial Innovation. Roč. 9, č. 1 (2023), č. článku 119. E-ISSN 2199-4730
Institutional support: RVO:67985556
Keywords : Bitcoin * high-frequency data * cryptocurrencies
OECD category: Finance
Impact factor: 8.4, year: 2022
Method of publishing: Open access
https://jfin-swufe.springeropen.com/articles/10.1186/s40854-023-00560-9#article-info http://library.utia.cas.cz/separaty/2024/E/kristoufek-0583793.pdf
Permanent Link: https://hdl.handle.net/11104/0352153 - 2.0553174 - NHÚ 2022 RIV GB eng J - Journal Article
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
How does the financial market update beliefs about the real economy? Evidence from the oil market.
Journal of Applied Econometrics. Roč. 36, č. 7 (2021), s. 938-961. ISSN 0883-7252. E-ISSN 1099-1255
Institutional support: RVO:67985998
Keywords : oil market * ultra high frequency data * futures returns
OECD category: Applied Economics, Econometrics
Impact factor: 2.460, year: 2021
Method of publishing: Limited access
https://doi.org/10.1002/jae.2841
Permanent Link: http://hdl.handle.net/11104/0328179 - 3.0550730 - NHU-C 2022 RIV GB eng J - Journal Article
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
How does the financial market update beliefs about the real economy? Evidence from the oil market.
Journal of Applied Econometrics. Roč. 36, č. 7 (2021), s. 938-961. ISSN 0883-7252. E-ISSN 1099-1255
R&D Projects: GA ČR(CZ) GA17-27567S
Institutional support: Progres-Q24
Keywords : oil market * ultra high frequency data * futures returns
OECD category: Applied Economics, Econometrics
Impact factor: 2.460, year: 2021
Method of publishing: Limited access
https://doi.org/10.1002/jae.2841
Permanent Link: http://hdl.handle.net/11104/0326037 - 4.0521173 - NHU-C 2020 CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Does index arbitrage distort the market reaction to shocks?.
Prague: CERGE-EI, 2019. 47 s. CERGE-EI Working Paper Series, 651. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GA17-27567S
Institutional support: Progres-Q24
Keywords : high-frequency data * stock market * ETF
Subject RIV: AH - Economics
https://www.cerge-ei.cz/pdf/wp/Wp651.pdf
Permanent Link: http://hdl.handle.net/11104/0305813 - 5.0521171 - NHÚ 2020 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Does index arbitrage distort the market reaction to shocks?.
Prague: CERGE-EI, 2019. 47 s. CERGE-EI Working Paper Series, 651. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : high-frequency data * stock market * ETF
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp651.pdf
Permanent Link: http://hdl.handle.net/11104/0305809File Download Size Commentary Version Access cerge-ei_Wp651.pdf 1 734.3 KB Publisher’s postprint open-access - 6.0490693 - NHÚ 2019 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Formation of market beliefs in the oil market.
Prague: CERGE-EI, 2018. 44 s. CERGE-EI Working Paper Series, 619. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : oil market * ultra high frequency data * trading intensity
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp619.pdf
Permanent Link: http://hdl.handle.net/11104/0284862 - 7.0490692 - NHU-C 2019 CZ eng V - Research Report
Anatolyev, Stanislav - Selezneva, S. - Selezneva, Veronika
Formation of market beliefs in the oil market.
Prague: CERGE-EI, 2018. 44 s. CERGE-EI Working Paper Series, 619. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GA17-27567S
Institutional support: Progres-Q24
Keywords : oil market * ultra high frequency data * trading intensity
Subject RIV: AH - Economics
https://www.cerge-ei.cz/pdf/wp/Wp619.pdf
Permanent Link: http://hdl.handle.net/11104/0284858 - 8.0483753 - ÚTIA 2018 RIV CZ eng J - Journal Article
Šmíd, Martin - Kopa, Miloš
Dynamic Model of Market with Uninformed Market Maker.
Kybernetika. Roč. 53, č. 5 (2017), s. 922-958. ISSN 0023-5954
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : market maker * optimal decision * price and inventory * high frequency data * dynamic model
OECD category: Statistics and probability
Impact factor: 0.632, year: 2017
http://www.library.utia.cas.cz/separaty/2017/E/smid-0483753.pdf
Permanent Link: http://hdl.handle.net/11104/0279514 - 9.0449082 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Gold, oil, and stocks: Dynamic correlations.
International Review of Economics & Finance. Roč. 42, č. 1 (2016), s. 186-201. ISSN 1059-0560. E-ISSN 1873-8036
R&D Projects: GA ČR GA14-24129S
Institutional support: RVO:67985556
Keywords : Financial markets * Time-frequency dynamics * High-frequency data * Dynamic correlation * Financial crisis * Wavelets
Subject RIV: AH - Economics
Impact factor: 1.261, year: 2016
http://library.utia.cas.cz/separaty/2015/E/barunik-0449082.pdf
Permanent Link: http://hdl.handle.net/11104/0250753 - 10.0449080 - ÚTIA 2016 RIV NL eng J - Journal Article
Avdulaj, Krenar - Baruník, Jozef
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.
Energy Economics. Roč. 51, č. 1 (2015), s. 31-44. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR(CZ) GA13-24313S; GA ČR GA13-32263S
Institutional support: RVO:67985556
Keywords : Portfolio diversification * Dynamic correlations * High frequency data * Time-varying copulas * Commodities
Subject RIV: AH - Economics
Impact factor: 2.862, year: 2015
http://library.utia.cas.cz/separaty/2015/E/barunik-0449080.pdf
Permanent Link: http://hdl.handle.net/11104/0250755