0347765 20240103193922.120101102235959.9 6 s. cav_un_epca*0346981978-80-7394-218-2Part II12-17České BudějoviceUniversity of South Bohemia in České Budějovice, Faculty of Economy2010HoudaMichalFriebelováJana comovement contagion wavelet analysis wavelet coherence 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*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/barunik-0347765.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 GD402/09/H045 GA ČR cav_un_auth*0253998 GP402/08/P207 GA ČR cav_un_auth*0241655 CEZ:AV0Z10750506 In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling. cav_un_auth*0263925 Mathematical Methods in Economics 2010 České Budějovice 08.09.2010-10.09.2010 CZ 2011 AH http://hdl.handle.net/11104/0188468 2010 cav_un_epca*0346981 28th International Conference on Mathematical Methods in Economics 2010 Part II 978-80-7394-218-2 12 17 České Budějovice University of South Bohemia in České Budějovice, Faculty of Economy 2010 Houda Michal 340 Friebelová Jana 340