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 this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found...

In this article we analyse a neoclassical model of inflation. Our aim is to reconstruct the neoclassical theory of inflation to obtain a model which generates non-periodical oscillations of price level. This model is considered to be a realistic approximation of actual price level evolution. We...

Neural networks - feed-forward neural networks and Elman's simplerecurrent neural networks - are compared with vector ARMA models- VAR and VARMA - in this paper. They are compared in anartificial stock market. One risk free and one risky asset aretraded in the market. There are only trend...

<p> <p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The present special issue of the Bulletin of the Czech Econometric Society is devoted to approximation of stochastic programming problems with special regard to empirical estimates. The issue is being published at the occasion of an important jubilee of our dear colleague Vlasta Kankova who...</span></p></p>

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...

The purpose of this paper is to study a three-equation dynamic model. The first equation describes the commodity market. The second one demonstrates the dynamics of the money market and the third equation is the interest rate parity. The aim is to investigate the conditions of more complex...

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...

The purpose of this paper is to investigate the time-series and distributional properties of Central European stock returns. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is...