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Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictability in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...
Persistent link: https://www.econbiz.de/10015217686
Informed trading is one of the key factors that can obstruct the efficient functioning of a financial market. The authors examine the extent of informed trading in the Czech Republic, where the financial market is alleged to be driven by informed trading. In applying the model developed by...
Persistent link: https://www.econbiz.de/10008549748
This paper considers the interaction among equity markets in the Czech Republic and those in developed countries. Also considered are cross-listed securities traded in the Czech Republic whose global depository receipts (GDRs) are listed in London. The models used include Granger causality,...
Persistent link: https://www.econbiz.de/10008495740
Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...
Persistent link: https://www.econbiz.de/10008564633
Over the past few years, the Value at Risk indicator (VaR) has evolved, without doubt, into the most frequently used comprehensive tool for assessment of potential losses caused by adverse changes in market rates. However, the common models used for VaR assessment are based only on mid prices...
Persistent link: https://www.econbiz.de/10005079050
This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical...
Persistent link: https://www.econbiz.de/10015216752
International monetary system made by agreement in Bretton – Woods, is widely known to be the system of fixed exchange rates with allowed +/- 1% band of oscillation. As such, it is viewed as the period of exchange rates stability. However, our analysis of Reinhart – Rogoff’s (2004)...
Persistent link: https://www.econbiz.de/10015216907
The paper presents both theoretical and an empirical analysis of factors influencing the prices of non-tradable goods and services in the Czech economy. The analysis discusses the development of the real exchange rate of the Czech koruna and quantifies the size of the real exchange rate...
Persistent link: https://www.econbiz.de/10005036411
In this essay I've demonstrated that there is evidence of unstable and non-linear relationship between fundamental variables and exchange rates. I have tried to "tune" Frankel's (1979) real interest differential model of exchange rate fluctuation. I have distinguished between Czech crown/Euro...
Persistent link: https://www.econbiz.de/10005036477
The large financial crises in the last decade have increased the interest of many economists in searching for some indicators, which can predict speculative attacks on currencies. Most of these studies concern on emerging economies, because they are more vulnerable to such speculative attacks....
Persistent link: https://www.econbiz.de/10005036573