0367060 20240103195825.720111125235959.9 22 s. 201122 (2011)1-22 comovement stock market 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/2011/E/barunik-0367060.pdf 118310 GAUK CZ cav_un_auth*0274537 GD402/09/H045 GA ČR cav_un_auth*0253998 GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 In this paper, we contribute to the literature on international stock market comovement. 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 a different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two fundamental approaches, so we can work in time-frequency domain. Using wavelet power spectra and wavelet coherence, we have uncovered interesting dynamics of cross-correlations between Central European and Western European stock markets using high-frequency data. Our findings provide possibility of a new approach to financial risk modeling. 2012 AH 3 http://hdl.handle.net/11104/0201846 2011 IES Working Papers Roč. 2011 č. 22 2011 1 22