The purpose of this paper is to investigate the time-series and distributional properties of Central European stock returns. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is...

A purpose of this paper is to formulate a continuous dynamical model for a small closed economy with a simple structure and with a minimum number of non-linearities. A basis of this model is developed from dynamical Kaldorian model. Variables in the modified dynamical Kaldorian model are in a...

We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. On the data of U.S. stock markets we demonstrate that the crash of 1987 may be better explained by cusp catastrophe theory, which is not true for the crash of 2001. With the help of...

<p> <p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The present special issue of the Bulletin of the Czech Econometric Society is devoted to approximation of stochastic programming problems with special regard to empirical estimates. The issue is being published at the occasion of an important jubilee of our dear colleague Vlasta Kankova who...</span></p></p>

In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found...

In this article we analyse a neoclassical model of inflation. Our aim is to reconstruct the neoclassical theory of inflation to obtain a model which generates non-periodical oscillations of price level. This model is considered to be a realistic approximation of actual price level evolution. We...

Neural networks - feed-forward neural networks and Elman's simplerecurrent neural networks - are compared with vector ARMA models- VAR and VARMA - in this paper. They are compared in anartificial stock market. One risk free and one risky asset aretraded in the market. There are only trend...

This paper aims to analyse migration and remittances in Central and Eastern European countries (CEECs) on the case study of Ukrainian labour migrants in the Czech Republic using primary data from survey questionnaires collected by the Ukrainian Migration Project (UMP). More specifically, it...

This text provides a financial survey of a small sample of Czech photovoltaic (PV) plants. To evaluate the extent of market losses, we calculate the shadow market price of solar electricity. From the profit and loss accounts of the PV plants and the shadow market price we estimate the total...

We examine exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models. Using the aggregate consumer price index and its sub-components, we find that the degree of passthrough is incomplete...