Grant detail

402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely

Principal investigator: prof. Ing. Miloslav Vošvrda CSc.
Collaborators: doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
PhDr. Petr Gapko Ph.D.
prof. PhDr. Ladislav Krištoufek Ph.D.
Description:
Participation: Řešitel příjemce: prof.RNDr.Ing. Jan Kodera, CSc.
Řešitel spolupříjemce: Prof. Ing. Miloslav Vošvrda, CSc.
Work in grant:
Web link:
Finance:
End date: 2011
Publications:

"Efficiency, persistence and predictability of Central European Stock Markets" In: Banking and Financial Markets in Central and Eastern Europe after 20 years of transition

Application of isobars to stock market indices

Barunik J., Sotak B.: Influence of Different Ownership Forms on Effectivity of Czech and Slovak Banks: Stochastic Frontier Approach

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. & 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

Equity Home Bias Among Czech Investors: Experimental Approach

Equity home bias in the Czech Republic

How Does Monetary Policy Change? Evidence on Inflation Targeting Countries

How Does Monetary Policy Change? Evidence on Inflation Targeting Countries

Ivanková, K. & Krištoufek, L. & Vošvrda, M.: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent

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

Kristoufek, L.: Classical and modified rescaled range analysis: Sampling properties under heavy tails

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

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

Kristoufek, L.: Long-term memory and its evolution in returns of stock index PX between 1997 and 2009

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

Pricing of Traded Warrants

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

Wavelet Analysis of Central European Stock Market Behaviour During the Crisis

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

Conferences:

47th Meeting of the Euro Working Group on Financial Modelling

Annual Conference of the Royal Economic Society

DIW Macroeconometric Workshop

Mathematical Methods in Economics 2010

Mathematical Methods in Economics 2010

The 11th Annual Doctoral Conference of FFU, VSE, Prague

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance