Počet záznamů: 1

Price jumps analysis of the PSE and Visegrad indices

  1. 1.
    0337846 - NHU-C 2010 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    Novotný, Jan
    Price jumps analysis of the PSE and Visegrad indices.
    Proceedings of 27th International Conference Mathematical Methods in Economics 2009. Prague: Czech University of Life Sciences Prague, 2009 - (Brožová, H.), s. 245-248. ISBN 978-80-213-1963-9.
    [27th International Conference Mathematical Methods in Economics 2009. Kostelec nad Černými lesy (CZ), 09.09.2009-11.09.2009]
    Grant CEP: GA ČR(CZ) GA402/08/1376
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: market data * price jumps * scale behavior
    Kód oboru RIV: AH - Ekonomie

    In this study I employ high frequency 5 minute market data of close prices of the main indices from Prague, Warsaw, Budapest and Frankfurt and perform a detailed price jump analysis focusing on tail behavior. The data spans June 2003 to the end of the 2008. I use two definitions of price fluctuation, namely the price jump index and normalized returns.
    Trvalý link: http://hdl.handle.net/11104/0181750