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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 … VaR assessment are based only on mid prices and do not take into account the existence of time-varying bid-ask spreads. In … the total risk. This paper focuses on the importance of market liquidity and describes ways to integrate it into the VaR …

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

New economy ant The new Age of new economy

Kislingerová, Eva - In: Ekonomika a managment 2008 (2008) 3

The paper points to some new aspects in the evolution of the world's economy, where mainly the use of so far unknown or disregarded financial tools leads to brand new situations on various markets and to qualities generally called deformation of the markets. The paper also defines new,...

Persistent link: https://www.econbiz.de/10009398939

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

Alternative Production Models in Economic Theory

Dlouhý, Martin - In: Acta Oeconomica Pragensia 2011 (2011) 5, pp. 34-47

In the paper, marginal analysis and linear programming are described and then compared as two independent theoretical approaches to production theory. Although marginal analysis dominates economic literature, we argue that linear programming is an equivalent theory with some advantages and, of...

Persistent link: https://www.econbiz.de/10009371707

Time series of monthly and yearly inflation rates and their properties

Arlt, Josef; Bašta, Milan - In: Politická ekonomie 2008 (2008) 4, pp. 536-556

Monthly and yearly inflation rates can be understood as rates of dynamics of the basic inflation indicator i.e. the consumer price index. These indicators modify the original inflation information. It is important to analyze the difference of the consumer price index, monthly and yearly...

Persistent link: https://www.econbiz.de/10008752950

Application of Simulation in Analysing Business Processes

Dlouhý, Martin; Jablonský, Josef - In: Acta Oeconomica Pragensia 2009 (2009) 6, pp. 27-36

Business processes take place in an environment of complex systems that consist of many interrelated elements with stochastic and dynamic characteristics. Simulation and management methods were developed to cope with such complexity. Simulation and management methods are interdependent...

Persistent link: https://www.econbiz.de/10008500694

Comparison of Volatility Models of PX Index and FTSE 100 Index

Borovička, Adam - In: Acta Oeconomica Pragensia 2011 (2011) 2, pp. 66-88

The article deals with a typical phenomenon of financial time series - volatility. These time series usually embody intermittent periods of relative "calm" and quite high variability. A volatility modelling of time series is made with the help of special econometric volatility models which...

Persistent link: https://www.econbiz.de/10009021821

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 appeared. In this paper two models of the conditional...

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

Poptávka po reálných peněžních zu°statcích v ČR a její determinanty

Gürtler, Martin - In: Politická ekonomie : teorie, modelování, aplikace 63 (2015) 5, pp. 570-602

Persistent link: https://www.econbiz.de/10011341166

Rakouská teorie hospodářského cyklu : VAR analýza pro USA v letech 1978 - 2013

Komrska, Martin - In: Politická ekonomie : teorie, modelování, aplikace 63 (2015) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10011285418