bibtype C - Conference Paper (international conference)
ARLID 0472032
utime 20240103213732.6
mtime 20170306235959.9
SCOPUS 84973468822
WOS 000378613400003
DOI 10.12693/APhysPolA.129.908
title (primary) (eng) Scaling of dependence between foreign exchange rates and stock markets in Central Europe
specification
page_count 5 s.
media_type E
serial
ARLID cav_un_epca*0472061
ISSN 0587-4246
title Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS
page_num 908-912
publisher
place Warszawa
name Polish Academy of Science, Institute of Physics
year 2016
keyword stock markets
keyword scale dependence
keyword currency
author (primary)
ARLID cav_un_auth*0256902
full_dept (cz) Ekonometrie
full_dept (eng) Department of Econometrics
department (cz) E
department (eng) E
full_dept Department of Econometrics
share 100
name1 Krištoufek
name2 Ladislav
institution UTIA-B
country CZ
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source
url http://library.utia.cas.cz/separaty/2016/E/kristoufek-0472032.pdf
cas_special
project
ARLID cav_un_auth*0303546
project_id GP14-11402P
agency GA ČR
country CZ
abstract (eng) 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.
action
ARLID cav_un_auth*0343840
name Polish Symposium of Physics in Economy and Social Sciences FENS (2016) /8./
dates 20151104
mrcbC20-s 20151106
place Rzeszów
country PL
RIV AH
reportyear 2017
num_of_auth 1
presentation_type PR
inst_support RVO:67985556
permalink http://hdl.handle.net/11104/0269400
confidential S
mrcbC86 2 Article|Proceedings Paper Physics Multidisciplinary
mrcbT16-e PHYSICSMULTIDISCIPLINARY
mrcbT16-j 0.104
mrcbT16-s 0.227
mrcbT16-4 Q3
mrcbT16-B 12.738
mrcbT16-D Q4
mrcbT16-E Q4
arlyear 2016
mrcbU14 84973468822 SCOPUS
mrcbU24 PUBMED
mrcbU34 000378613400003 WOS
mrcbU63 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