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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014
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/10010986556
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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
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/10010398701
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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
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
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/10010407524
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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
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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
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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
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Price Jumps on European Stock Markets
Hanousek, Jan - 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/10013071459
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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
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Gold, Oil, and Stocks : Dynamic Correlations
Baruník, Jozef - 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/10013023110