| bibtype |
J -
Journal Article
|
| ARLID |
0106216 |
| utime |
20240103173125.5 |
| mtime |
20050324235959.9 |
| title
(primary) (eng) |
An application of the GARCH-t model on Central European stock returns |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0290424 |
| ISSN |
1210-0455 |
| title
|
Prague Economic Papers |
| volume_id |
12 |
| volume |
1 (2004) |
| page_num |
26-39 |
| publisher |
| name |
Vysoká škola ekonomická v Praze |
|
|
| title
(cze) |
Aplikace GARCH-t modelu na burzách Střední Evropy |
| keyword |
conditional heteroskedasticity |
| keyword |
GARCH |
| keyword |
leptokurtosis |
| author
(primary) |
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101240 |
| name1 |
Žikeš |
| name2 |
Filip |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
05D |
| cas_special |
| project |
| project_id |
287/2003/A-EK/FSV |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0200687 |
|
| project |
| project_id |
GA402/01/0034 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0008950 |
|
| project |
| project_id |
GA402/04/1294 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001810 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
The purpose of this paper is investigate the time-series and distributional properties of Central European stock returns. We employ the BDS test to assess the ability of the estimated GARCH-t model to capture all nonlinearities in stock returns. Our empirical findings reveal that the Czech and Hungarian stock market indices are predictable from the time series of historical prices, whereas that of Poland is not. |
| abstract
(cze) |
Cílem článku je analýza časových řad a jejich distribučních vlastností na burzách Střední Evropy. Pro analýzu se používá BDS testu k ověření možnosti užít GARCH-t modelu. Bylo ověřeno, že kapitálový trh v České republice a Maďarsku je predikovatelný, zatímco kapitálový trh v Polsku takový není |
| reportyear |
2005 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0013398 |
| ID_orig |
UTIA-B 20040026 |
| arlyear |
2004 |
| mrcbU63 |
cav_un_epca*0290424 Prague Economic Papers 1210-0455 2336-730X Roč. 12 č. 1 2004 26 39 Vysoká škola ekonomická v Praze |
|