bibtype	J - Journal Article
ARLID	0348351
utime	20240103194007.0
mtime	20101101235959.9
WOS	000282356600003
title (primary) (cze)	Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009
specification	page_count 17 s.
serial	ARLID cav_un_epca*0251661 ISSN 0032-3233 title Politická ekonomie volume_id 58 volume 4 (2010) page_num 471-478 publisher name Vysoká škola ekonomická v Praze
title (eng)	Long-term memory and its evolution in returns of stock index PX between 1997 and 2009
keyword	econophysics
keyword	long-range dependence
keyword	time series analysis
keyword	rescaled range
keyword	periodogram
author (primary)	ARLID cav_un_auth*0256902 name1 Krištoufek name2 Ladislav 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.
source	url http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-term memory and its evolution in returns of stock index px between 1997 and 2009.pdf
cas_special	project project_id GAUK 118310 agency GAUK country CZ project project_id MŠMT 0021620841 agency MŠMT country CZ project project_id GD402/09/H045 agency GA ČR ARLID cav_un_auth*0253998 research CEZ:AV0Z10750506 abstract (cze) Tato práce se zabývá procesy s dlouhodobou pamětí, jejich vývojem a jejich použitím ve výpočtech výnosu burzovního indexu PX v letech 1997 - 2009 abstract (eng) Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature inter- prets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experien- ced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior. reportyear 2011 RIV AH num_of_auth 1 permalink http://hdl.handle.net/11104/0188905 mrcbT16-e ECONOMICS|POLITICALSCIENCE mrcbT16-j 0.033 mrcbT16-q 8 mrcbT16-s 0.270 mrcbT16-y 29.54 mrcbT16-x 0.52 mrcbT16-4 Q2 mrcbT16-B 4.488 mrcbT16-C 45.821 mrcbT16-D Q4 mrcbT16-E Q2 arlyear 2010 mrcbU34 000282356600003 WOS mrcbU63 cav_un_epca*0251661 Politická ekonomie 0032-3233 0032-3233 Roč. 58 č. 4 2010 471 478 Vysoká škola ekonomická v Praze