0341829 20240111140738.820100423235959.9 17 s. www 20104 (2010)1-17 financial crisis tail behavior stock markets stable probability distribution cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Vácha Lukáš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Vošvrda Miloslav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. pdf http://library.utia.cas.cz/separaty/2010/E/barunik-0341829.pdf GP402/08/P207 GA ČR cav_un_auth*0241655 GD402/09/H045 GA ČR cav_un_auth*0253998 GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 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 March 2009 with the stable probability distribution model and discuss its tail behavior. As the estimation of the tail exponent is very sensitive to the size of the data set, the estimates can be misleading for short daily samples. Thus, we employ high-frequency 1-minute data, which proves to be a good choice as it reveals interesting findings about the distributional properties. Furthermore, we study the difference in stock market behavior before and during the financial crisis. 2011 AH http://hdl.handle.net/11104/0184695 2010 pdf IES Working Papers Roč. 2010 č. 4 2010 1 17