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the hypothesis of the efficient-market theory, even in its weak form. Another finding, as regards the macroeconomic … instrument of portfolio diversification, at least in relative terms, since the correlation to the Czech bond market was weak …
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In this paper, we investigate the adequacy of scaling, a method frequently used in estimation of standard deviation of stock returns. Scaling is based on the assumption that standard deviation is proportional to the square root of the length of the time interval of the sample (for example daily,...
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Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...
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