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Charakteristiky celkových výplat akcionářům soukromých firem v zemích Visegradské skupiny

Hanousek, Jan; Trešl, Jiří - In: Politická ekonomie : teorie, modelování, aplikace 67 (2019) 5, pp. 458-475

Persistent link: https://www.econbiz.de/10012269285

Aplikace FIGARCH a EWMA modelu° na burzovní indexy PX a BUX

Štolc, Zdeněk - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 19 (2011) 4, pp. 25-38

Persistent link: https://www.econbiz.de/10009376296

Posouzení modelů odhadu tržního rizika s využitím DEA přístupu

Kresta, Aleš; Tichý, Tomáš; Toloo, Mehdi - In: Politická ekonomie : teorie, modelování, aplikace 65 (2017) 2, pp. 161-178

Persistent link: https://www.econbiz.de/10011853736

Market liquidity risk and its incorporation into value at risk

Strnad, Petr - In: Acta Oeconomica Pragensia 2009 (2009) 2, pp. 21-37

Over the past few years, the Value at Risk indicator (VaR) has evolved, without doubt, into the most frequently used comprehensive tool for assessment of potential losses caused by adverse changes in market rates. However, the common models used for VaR assessment are based only on mid prices...

Persistent link: https://www.econbiz.de/10005079050

Application of FIGARCH and EWMA Models on Stock Indices PX and BUX

Štolc, Zdeněk - In: Acta Oeconomica Pragensia 2011 (2011) 4, pp. 25-38

Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management …, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have … analysis (R/S) indicate a long memory in the volatility process of PX index and the first 40 autocorrelations of the square log …

Persistent link: https://www.econbiz.de/10009294290