| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0370121 |
| utime |
20240103200133.5 |
| mtime |
20120110235959.9 |
| title
(primary) (eng) |
Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0364870 |
| ISBN |
978-80-7431-058-4 |
| title
|
Mathematical Methods in Economics 2011 |
| page_num |
300-305 |
| publisher |
| place |
Prague |
| name |
Proffesional publishing |
| year |
2011 |
|
|
| keyword |
isoquantile |
| keyword |
Hurst exponent |
| keyword |
Efficient Market Hypothesis |
| keyword |
stock market index |
| keyword |
isobar |
| author
(primary) |
| ARLID |
cav_un_auth*0267448 |
| name1 |
Ivanková |
| name2 |
Kristýna |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| 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. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| 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 |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
118310 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0274537 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
This article extends our previous work on applications of isoquantile (formerly isobar) surfaces to market analysis. The approach is applied to lagged returns of selected stock market indices and compared to various estimations of the Hurst exponent. We evaluate the Efficient Market hypothesis by means of the two aforementioned approaches for the ASPI, BET, BUX, JSX, NASDAQ, PX and S&P500 indices. The more does a time series satisfy the EMH, the closer it resembles Brownian motion. In this case isoquantile surfaces form a circle and the Hurst exponent approaches 1/2. |
| action |
| ARLID |
cav_un_auth*0277377 |
| name |
Mathematical Methods in Economics 2011 |
| place |
Jánska Dolina |
| dates |
06.09.2011-09.09.2011 |
| country |
SK |
|
| reportyear |
2012 |
| RIV |
AH |
| num_of_auth |
3 |
| permalink |
http://hdl.handle.net/11104/0204015 |
| arlyear |
2011 |
| mrcbU63 |
cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 300 305 Prague Proffesional publishing 2011 |
|