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Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009

Krištoufek, Ladislav - In: Politická ekonomie 2010 (2010) 4, pp. 471-487

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...

Persistent link: https://www.econbiz.de/10008564633

Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových státu° EU

Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie : teorie, modelování, aplikace 58 (2010) 4, pp. 435-457

Persistent link: https://www.econbiz.de/10008825670

Srovnání volatility akciových indexu° PX a FTSE 100

Borovička, Adam - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 19 (2011) 2, pp. 66-88

Persistent link: https://www.econbiz.de/10009375532

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Persistent link: https://www.econbiz.de/10005036300

Výzkum prvotních veřejných nabídek akcií realizovaných na českém kapitálovém trhu

Meluzín, Tomáš - In: E + M ekonomie a management 12 (2009) 2, pp. 108-121

Persistent link: https://www.econbiz.de/10003935551

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

Financial derivatives, their use and impact on firm performance and value

Vitík, Robert - In: Ekonomika a managment 2008 (2008) 2

, profit volatility restriction and finally performance measurement of management staff. This essay is focused on question …

Persistent link: https://www.econbiz.de/10009398919

Porovnání pøežívajících a zanikajících podnikù v èeské ekonomice na konci 90. let

Hlaváèek, Jiøí; Hlaváèek, Michal - In: Czech Journal of Economics and Finance (Finance a uver) 52 (2002) 9, pp. 502-514

Autoøi se ve svém èlánku pokoušejí odpovìdìt na otázku, zda proces eliminace neperspektivních firem napomohl oživení èeské ekonomiky na konci 90. let. Pro rok 1999 prokázali vysokou míru podobnosti provozních výsledkù (produktivita práce, pøidaná hodnota na zamìstnance,...

Persistent link: https://www.econbiz.de/10008549725

Credit Risk on the Bond Market

Pluhaø, Radek - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 3, pp. 147-165

Credit risk is a significant feature of debt securities. Large institutional investors employ teams of researchers who scrutinize and measure credit risk. The Czech market possesses specific features that make the exact specification and measurement of credit risk an uneasy task. This article...

Persistent link: https://www.econbiz.de/10008549735

Efektivnost nových kapitálových trh°u : příklad pro střední Evropu

Hanousek, Jan - In: Finance a úvěr 47 (1997) 9, pp. 538-548

Persistent link: https://www.econbiz.de/10001233302