0472032 20240103213732.620170306235959.9 84973468822 000378613400003 10.12693/APhysPolA.129.908 5 s. E cav_un_epca*04720610587-4246908-912WarszawaPolish Academy of Science, Institute of Physics2016 stock markets scale dependence currency cav_un_auth*0256902 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Krištoufek Ladislav UTIA-B CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2016/E/kristoufek-0472032.pdf cav_un_auth*0303546 GP14-11402P GA ČR CZ We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest. cav_un_auth*0343840 Polish Symposium of Physics in Economy and Social Sciences FENS (2016) /8./ 20151104 20151106 Rzeszów PL AH 2017 1 PR RVO:67985556 http://hdl.handle.net/11104/0269400 S 2 Article|Proceedings Paper Physics Multidisciplinary PHYSICS.MULTIDISCIPLINARY 0.489 0.075 4.9 0.00505 0.104 2809 0.227 Q3 0.401 641 Q4 12.738 12 Q4 Q4 12.025 2016 84973468822 SCOPUS PUBMED 000378613400003 WOS cav_un_epca*0472061 Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS 0587-4246 1898-794X 908 912 Warszawa Polish Academy of Science, Institute of Physics 2016