In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...

In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...

The purpose of this paper is to study a price level dynamics in a simple fourequation model. A basis of this model is developed from dynamical Kaldorian model which could be noticed very frequently in works of non-linear economic dynamics. Our approach is traditional. The difference is observed...

This paper investigates dependence structures on selected world stock markets. Firstly, a non-parametric univariate measure of a persistence concerning capital markets efficiency is derived and computed. Secondly, we focus on computing of a non-parametric multivariate measure of the persistence...