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504 (0,126s) •

Project

Sentiment and its impact on stock markets (GA16-26353S)

), and stock market returns and volatility. We employ GARCH models, cross-sectional, panelThe project deals with the impact of the economic agent sentiment on the stock returns/volatility and related links with eco...

AH - Ekonomie

  • 2016 - 2020
    • •
  • 3 349 tis. Kč
    • •
  • 2 993 tis. Kč
    • •
  • GA ČR
Project

The models of financial time series and their use in economics (GA402/00/0459)

and actual analysis (stock prices at Prague Stock Exchange and at foreign capital markets to the modelling of volatility.3.Application of volatility models together conditions for broader practical use of the resu...

AH - Ekonomie

  • 2000 - 2002
    • •
  • 661 tis. Kč
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  • 661 tis. Kč
    • •
  • GA ČR
Project

Online attention and financial markets (GA20-16786S)

The project aims to explore links between changes in online attention (measured as Google searches) and financial market characteristics (returns, volatility, volume of online attention on stock returns differentiating between short...

Finance

  • 2020 - 2022
    • •
  • 2 734 tis. Kč
    • •
  • 2 734 tis. Kč
    • •
  • GA ČR
Project

Returns on Property, Stocks, and Bonds - Consumption Perspective (GAP403/12/1394)

We will first test a Consumption based Capital Asset Pricing Model (CCAPM) where the real estate asset is both investment and consumption good. The test is based on the volatility bounds of the stochastic discount factor, which reflect hi...

AE - Řízení, správa a administrativa

  • 2012 - 2016
    • •
  • 2 294 tis. Kč
    • •
  • 2 294 tis. Kč
    • •
  • GA ČR
Project

Volatility models and their applications in Economics (GA402/07/0465)

This project builds the on current state of knowledge in the area of modelling volatility of time series (financial data like stock or exchange rate returns in particular) which will be extended in direction to investigating paramet...

AH - Ekonomie

  • 2007 - 2008
    • •
  • 220 tis. Kč
    • •
  • 220 tis. Kč
    • •
  • GA ČR
Project

Variance Risk Premium Insights from Short-Term Options, Cross-Sectional Analysis, and Driving Factors (GF25-14398L)

The Variance Risk Premium (VRP) represents the discrepancy between expected and realized market variance, reflecting investors' compensation for taking volatility risk. This study aims to expand the understanding of the VRP by examining its ...

Criminology, penology

  • 2025 - 2027
    • •
  • 4 812 tis. Kč
    • •
  • 3 951 tis. Kč
    • •
  • GA ČR
Project

Price data analysis using modern methods of mathematical statistics (GA402/96/0428)

in the behaviour of price data trends and volatility. The methods will be mainly used will be testedon price data obtained from both foreign stock houses (London, New York......

AH - Ekonomie

  • 1996 - 1998
    • •
  • 200 tis. Kč
    • •
  • 200 tis. Kč
    • •
  • GA ČR
Project

Multivariate spectral analysis of financial markets (GA13-32263S)

will be applied to measure the integrated volatility and covolatility under the various types behavior of the stock market participants at various scales representing investment......

AH - Ekonomie

  • 2013 - 2017
    • •
  • 2 914 tis. Kč
    • •
  • 2 914 tis. Kč
    • •
  • GA ČR
Project

Level and sources of electoral volatility in post-communist Europe (GA19-06096S)

The project analyses the level and sources of electoral volatility in post-communist countries. This project focuses on individual-level volatility in consecutive. This project is composed of two parts: (1) estimating the level of <...

Political science

  • 2019 - 2022
    • •
  • 3 328 tis. Kč
    • •
  • 3 328 tis. Kč
    • •
  • GA ČR
Project

Forecasting Volatility in Emerging Financial Markets (GA18-05829S)

This project designs procedures for forecasting market volatility for financial of forecasting models based on range-based volatility estimators and compare their performance against same models using realized volatility es...

Finance

  • 2018 - 2022
    • •
  • 2 576 tis. Kč
    • •
  • 2 226 tis. Kč
    • •
  • GA ČR
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