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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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Historical calibration of SVJD models with deep learning
Fičura, Milan; Witzany, Jiří - 2023
We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump …
Persistent link: https://www.econbiz.de/10014444774
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Public employment effects over the business cycle : the Czech case
Kopecna, Vedunka - 2016
The paper contributes to understanding the effects stemming from the public sector employment changes in the Czech Republic and their impacts on the labor market through the lens of a New Keynesian dynamic stochastic general equilibrium model with search and matching frictions. The size of the...
Persistent link: https://www.econbiz.de/10011505049
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The impact of German macroeconomic data announcements on the Czech financial market
Moravcová, Michala - 2015
volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …
Persistent link: https://www.econbiz.de/10011317142
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How puzzling is the forward premium puzzle? : a meta-analysis
Zigraiova, Diana; Havránek, Tomáš; Novák, Jiri - 2020
A key theoretical prediction in financial economics is that under risk neutrality and rational expectations a currency's forward rates should form unbiased predictors of future spot rates. Yet scores of empirical studies report negative slope coefficients from regressions of spot rates on...
Persistent link: https://www.econbiz.de/10012172213
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Are employment effects of minimum wage the same across the EU? : a meta-regression analysis
Kucera, Tomas - 2020
There is still an ongoing debate on employment effects of minimum wage. Not only the magnitude, but also the direction of the effect is a matter of concern. Economic theory on its own cannot unanimously resolve the dispute as it provides concepts within which both negative and positive effects...
Persistent link: https://www.econbiz.de/10012150004
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Rockets and feathers meet Joseph : reinvestigating the oil-gasoline asymmetry on the international markets
Kristoufek, Ladislav; Lunackova, Petra - 2015
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices...
Persistent link: https://www.econbiz.de/10010471708
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Food versus fuel : an updated and expanded evidence
Filip, Ondrej; Janda, Karel; Kristoufek, Ladislav; … - 2017
cointegration relationship between biofuels and related commodities for a considerably enlarged dataset (3 vs. 1 market, 26 vs. 8 …
Persistent link: https://www.econbiz.de/10011758410
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Option pricing: the empirical tests of the black-scholes pricing formula and the feed-forward network
Vlasáková Baruníková, Michaela - 2009
In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show...
Persistent link: https://www.econbiz.de/10003823914
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Pricing of gas swing options using Monte Carlo methods
Klimešová, Andrea; Václavík, Tomáš - 2011
Motivated by the changing nature of the natural gas industry in the European Union driven by the liberalization process, we focus on pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of offtake flexibility concerning volume and time. The gas...
Persistent link: https://www.econbiz.de/10009152601