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 summarizes the main points discussed at the seminar on The Nobel Prize Laureates, 2003, held by the Czech Economic Association in March 2004. The seminar featured two main speakers: Josef Arlt (University of Economics, Prague, and Charles University, Prague), who lectured on the work...

The paper is concerned with the use of several methods that can be useful from the point of view of trend reversal in financial time series. These methods are demonstrated on PX index time series during 2002-2009. The research itself is subdivided into four parts corresponding to individual...