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Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

Price Jumps on European Stock Markets

Hanousek, Jan; Kočenda, Evžen; Novotný, Jan - William Davidson Institute, University of Michigan - 2013

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data … methods to identify price jumps: Method 1 minimizes the probability of false jump detection (the Type-II Error-Optimal price …-crisis period from that during the crisis. Our results indicate that, contrary to common belief, the intensity of price jumps does …

Persistent link: https://www.econbiz.de/10011161366

Price Jump Indicators: Stock Market Empirics During the Crisis

Novotný, Jan; Hanousek, Jan; Kočenda, Evžen - William Davidson Institute, University of Michigan - 2013

and the detected numbers of price jumps are stable over time. The recent financial crisis does not seem to affect the …

Persistent link: https://www.econbiz.de/10011161388

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012061369

Brož, Václav; Kočenda, Evžen - 2021

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012697108

The Identification of Price Jumps

Hanousek, Jan - 2011

We performed an extensive simulation study to compare the relative performance of many price-jump indicators with respect to false positive and false negative probabilities. We simulated twenty different time series specifications with different intraday noise volatility patterns and price-jump...

Persistent link: https://www.econbiz.de/10013128581

Price Jumps on European Stock Markets

Hanousek, Jan - 2013

Persistent link: https://www.econbiz.de/10013071459

Price Jump Indicators : Stock Market Empirics During the Crisis

Novotny, Jan - 2013

and the detected numbers of price jumps are stable over time. The recent financial crisis does not seem to affect the …

Persistent link: https://www.econbiz.de/10013078483

Brož, Václav; Kočenda, Evžen - 2021

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10013311710

Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness

Sila, Jan; Kočenda, Evžen; Krištoufek, Ladislav; … - 2023

Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major...

Persistent link: https://www.econbiz.de/10014494982