Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of financial markets and their globalization also lead to higher financial risks. These aspects are especially important for transitional and small open economies. The basic goal of the...

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...

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...

The article deals with areas of initial public offerings of shares and their influence on the development of stock markets in the countries of the Visegrad Four. IPO, also known as the "IPO" is the process of newly issued shares of the stock markets. Development of the newly made IPO affects not...

The paper examines the potential of stochastic simulation methods and Earnings at Risk method in risk analysis of farming business. The results revealed a different nature of yield and price risks in agriculture. The natural yields are low spatially correlated and the rate of yield risk depends...

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...

We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its...