The paper presents empirical analysis of influence of different ownership forms on efficiency of Czech and Slovak banks using the Stochastic Frontier Analysis. The paper brings new results as it uses set of data which has not been used previously in the literature. On the set of 44 Czech and 21...

In this paper, we investigate the adequacy of scaling, a method frequently used in estimation of standard deviation of stock returns. Scaling is based on the assumption that standard deviation is proportional to the square root of the length of the time interval of the sample (for example daily,...

In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated. Random sample of 1000 foreign exchange portfolios consisting of positions in EUR and USD with CZK as a base currency was considered. Since foreign exchange portfolio consists of...