This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...

This paper builds on Kocenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter epsilon (over which the correlation integral is calculated) are specified. For these epsilon-ranges new critical values for various lengths of the data sets are introduced and...

This paper builds on Kocenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε-ranges new critical values for various lengths of the data sets are introduced and through Monte...

Kocenda (2001) introduced the test for nonlinear dependencies in time series data based on the correlation integral. The idea of the test is to estimate the correlation dimension by integrating over a range of proximity parameter epsilon. However, there is an unexplored avenue if one wants to...

Kocenda (2001) introduced the test for nonlinear dependencies in time series data based on the correlation integral. The idea of the test is to estimate the correlation dimension by integrating over a range of proximity parameter. However, there is an unexplored avenue if one wants to use the...

In this paper, we evaluate what we have learned to date about the effects of privatization from the experiences during the last fifteen to twenty years in the postcommunist (transition) economies and, where relevant, China. We distinguish separately the impact of privatization on efficiency,...

In this book several econometrics techniques are used to perform quantitative research of the exchange rate in transition. This is an empirical work based on related economic theory. While the stress is put on the exchange rate of the Czech koruna, the subject is analyzed from a broader...

We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a...