Grant detail

402/09/0965: New Approaches for monitoring and prediction of capital markets

Principal investigator: prof. Ing. Miloslav Vošvrda CSc.
Collaborators: doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
RNDr. Martin Šmíd Ph.D.
Mgr. Lukáš Vácha Ph.D.
Description:
Participation:
Work in grant:
Web link:
Finance: Ústav teorie informace a automatizace AV ČR, v. v. i.
End date: 2013
Publications:

Barunik J., Vacha L., Vosvrda M.: Smart Predictions in the Heterogeneous Agent Model

Barunik J., Vacha L., Vosvrda M.: Tail Behavior of the Central European Stock Markets During the Financial Crisis

Barunik J., Vacha L.: Monte Carlo-based tail exponent estimator

Barunik J., Vosvrda M.: Can a stochastic cusp catastrophe model explain stock market crashes?

Barunik, J. & Kristoufek, L.: On Hurst exponent estimation under heavy-tailed distributions

Barunik, J. & Vacha, L. & Kristoufek L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data

Barunikova, M. Barunik, J.: Neural Networks as Semiparametric Option Pricing Tool

Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment

Equity Home Bias Among Czech Investors: Experimental Approach

Equity home bias in the Czech Republic

Fiscal developments and financial stress: a threshold VAR analysis

Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities: A taxonomy perspective

Kristoufek, L. & Vosvrda, M.: Capital markets efficiency: Fractal dimension, Hurst exponent and entropy

Kristoufek, L.: Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

Kristoufek, L.: Local Scaling Properties and Market Turning Points at Prague Stock Exchange

Kristoufek, L.: Long-range dependence in returns and volatility of Central European Stock Indices

Kristoufek, L.: Mixed-correlated ARFIMA processes for power-law cross-correlations

Kristoufek, L.: Multifractal Height Cross-Correlation Analysis

Kristoufek, L.: Multifractal Height Cross-Correlation Analysis

Kristoufek, L.: Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations

Kristoufek, L.: On Spurious Anti-Persistence in the US Stock Indices

Kristoufek, L.: Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals

Modeling a Distribution of Mortgage Credit Losses

Modeling a distribution of mortgage credit losses

Modeling a distribution of mortgage credit losses

Monte Carlo-Based Tail Exponent Estimator

Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility

Research & Development and Long-Term Economic Growth: A Bayesian Model Averaging Analysis

Tail Behavior of the Central European Stock Markets during the Financial Crisis

Vacha L. Barunik J. Vosvrda M.: How do skilled traders change the structure of the market

Vacha L., Barunik J. Vosvrda M.: Sentiment Patterns in the Heterogeneous Agent Model

What the Data Say about the Effects of Fiscal Policy in the Czech Republic?

Conferences:

17th International Conference on Computing in Economics and Finance

47th Meeting of the Euro Working Group on Financial Modelling

CEF 2012: 18th Computing in Economics and Finance

European Economic Association & Econometric Society 2011

Mathematical Methods in Economics 2010

WEHIA/ESHIA 2010

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance