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Reálny ekonomický cyklus v podmienkach nedokonalého fungovania trhu kapitálu

Dujava, Daniel; Lisý, Ján - In: Ekonomický časopis : časopis pre ekonomickú … 58 (2010) 10, pp. 1006-1025

Persistent link: https://www.econbiz.de/10009013113

The Czech Equity Market - Its Effectiveness and Macroeconomic Consequences

Horská, Helena - In: Czech Journal of Economics and Finance (Finance a uver) 55 (2005) 5-6, pp. 283-301

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 …. Contrariwise, the correlation among the Czech, U.S., and European stock markets increased in time, restricting the room for …

Persistent link: https://www.econbiz.de/10005808639

Defection of Traditional Standard Deviation Scaling of Capital Asset Returns

Gazda, Vladimír; Koøený, Karel; Výrost, Tomáš - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 7-8, pp. 325-334

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,...

Persistent link: https://www.econbiz.de/10008549843

Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange

Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2004

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...

Persistent link: https://www.econbiz.de/10005687558