| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0347765 |
| utime |
20240103193922.1 |
| mtime |
20101102235959.9 |
| title
(primary) (eng) |
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0346981 |
| ISBN |
978-80-7394-218-2 |
| title
|
28th International Conference on Mathematical Methods in Economics 2010 |
| part_num |
Part II |
| page_num |
12-17 |
| publisher |
| place |
České Budějovice |
| name |
University of South Bohemia in České Budějovice, Faculty of Economy |
| year |
2010 |
|
| editor |
|
| editor |
| name1 |
Friebelová |
| name2 |
Jana |
|
|
| keyword |
comovement |
| keyword |
contagion |
| keyword |
wavelet analysis |
| keyword |
wavelet coherence |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GP402/08/P207 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0241655 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0263925 |
| name |
Mathematical Methods in Economics 2010 |
| place |
České Budějovice |
| dates |
08.09.2010-10.09.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0188468 |
| arlyear |
2010 |
| mrcbU63 |
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 |
| mrcbU67 |
Houda Michal 340 |
| mrcbU67 |
Friebelová Jana 340 |
|