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Application of FIGARCH and EWMA Models on Stock Indices PX and BUX

Štolc, Zdeněk - In: Acta Oeconomica Pragensia 2011 (2011) 4, pp. 25-38

Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared. In this paper two models of the conditional...

Persistent link: https://www.econbiz.de/10009294290

Interest and Noninterest Profits and Profitability in the Czech Banking Sector (in Czech)

Heømánek, Jaroslav; Podpiera, Jiøí - In: Czech Journal of Economics and Finance (Finance a uver) 53 (2003) 7-8, pp. 316-333

This study explores bank´s transformation in the Czech Republic from the point of view of their profit. It considers factors that influenced domestic banks and income structure of peer groups. Under conditions of equal competition, the peer groups showed different characteristics in terms of...

Persistent link: https://www.econbiz.de/10008495790

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary...

Persistent link: https://www.econbiz.de/10005036300

Testing the weak form of efficient market hypothesis for the czech stock market

Quang, Tran Van - In: Politická ekonomie 2007 (2007) 6, pp. 751-772

Efficient Market Hypothesis has dominated the field of research on capital market theory. It postulates that asset prices are rationally connected to economic realities and always incorporate all the information available to the market. A huge quantity of theoretical works around the world have...

Persistent link: https://www.econbiz.de/10005036665

Voting power indicators in the European union

Loužek, Marek - In: Politická ekonomie 2004 (2004) 3, pp. 291-312

The article is concerned with voting indicators in the European Union. The first chapter constructs a model of voting power and defines four indicators: A. Simple relative power, B. Shapley-Shubik index, C. Banzhaf index, D. Coleman index. The second chapter defines data: the voting structure...

Persistent link: https://www.econbiz.de/10005036703

Information Efficiency of Central Europe Stock Exchanges (in Czech)

Diviš, Karel; Teplý, Petr - In: Czech Journal of Economics and Finance (Finance a uver) 55 (2005) 9-10, pp. 471-482

The authors use a variance ratio test to test the weak form of market efficiency as regards capital markets in the Czech Republic, Slovakia, Hungary, Poland, and in the United States. Market efficiency was tested using weekly and monthly values of relevant market indices in a period from 1993...

Persistent link: https://www.econbiz.de/10005698619

Visual Recurrence Analysis and its Application

Kodera, Jan; Quang, Tran Van - In: Politická ekonomie 2009 (2009) 3, pp. 305-322

The aim of the article is to answer the question if the Czech stock market price dynamics is generated by non-linear deterministic dynamic process. To solve this complex problem requires using sophisticated computational operations to analyze huge amount of data input. To overcome this obstacle...

Persistent link: https://www.econbiz.de/10005103169

Real Exchange Rate of the Czech Koruna and the Prices of Non-tradable Goods and Services

Mandel, Martin; Tomšík, Vladimír - In: Acta Oeconomica Pragensia 2008 (2008) 3, pp. 3-12

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

Tobin´s Q - theory and application

Pánková, Václava - In: Politická ekonomie 2005 (2005) 5, pp. 601-608

(Mundschenk, 2000). As for the firms, a VAR model is estimated using panel data. Relevant forecasts enable to quantify an expected … macroeconomic background, the Q of the Czech Republic was computed. Than, the panel data approach was applied to the Czech machinery … detailed panel structure. A high degree of zero investment might be a signal for policy makers which seems to be recognized by …

Persistent link: https://www.econbiz.de/10005036684

Postaudity investičních projekt°u jako nástroj učení se

Fotr, Jiří; Švecová, Lenka; Špaček, Miroslav - In: Ekonomický časopis : časopis pre ekonomickú … 57 (2009) 7, pp. 633-652

Persistent link: https://www.econbiz.de/10003903537