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472 (0,166s) •

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 ...

Finance

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

Forecasting Market Risk The Role of Trading Activity, Attention and Sentiment (GA22-27075S)

models to forecast three widely employed measures of market risk; volatility, value-at-risk, and expected shortfall. Forecasting models will revolve around two relatedForecasting market risk is an essential part o...

Finance

  • 2022 - 2024
    • •
  • 4 182 tis. Kč
    • •
  • 3 555 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 of jumps and co-jumps on the density forecasts with direct implications to forecasting......

AH - Ekonomie

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

Online attention and financial markets (GA20-16786S)

and post-earnings announcement drift. 4) We will evaluate whether volatility forecastsThe project aims to explore links between changes in online attention (measured as Google searches) and financial market characteristics (returns...

Finance

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

Modelling of Financial and Economic Time Series - Application and Comparison of Wavelet and Traditional Methods (GPP402/12/P507)

of wavelets to study phenomena such as volatility spillovers, volatility forecasts...

BB - Aplikovaná statistika, operační výzkum

  • 2012 - 2016
    • •
  • 767 tis. Kč
    • •
  • 767 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

The dynamics of international commodity prices and economic development (GAP402/11/2500)

The dynamics of world commodity prices is an important factor for stability of small open economies. The last few years have witnessed significant volatility in commodity prices and this has impacted economic performance (inflation, balance ...

AH - Ekonomie

  • 2011 - 2014
    • •
  • 877 tis. Kč
    • •
  • 877 tis. Kč
    • •
  • GA ČR
Project

Forecasting system of road surface condition and temperature of the Czech highways (CK01000048)

The aims of the project are: • creating a line forecast of the road surface roads. Apart from deterministic forecast, the prediction will include a forecast decisions. • an improvement of existing forecast by: (i)...

Meteorology and atmospheric sciences

  • 2020 - 2023
    • •
  • 10 024 tis. Kč
    • •
  • 7 880 tis. Kč
    • •
  • TA ČR
Project

Implementation of new streamflow forecasting tools in the frame of flood forecasting service in the Czech Republic (SP/1C4/16/07)

To develop software for probabilistic hydrological forecasting, to develop software for flash flood guidence, to contribute to snow cover research for operational forecasting, to develop guide to implemet outputs to water management...

DA - Hydrologie a limnologie

  • 2007 - 2011
    • •
  • 12 191 tis. Kč
    • •
  • 10 728 tis. Kč
    • •
  • MŽP
Project

Expected impacts of EU and Eurozone on external economic relations of CR. Econometric analysis. (GA402/09/0273)

in contributing to the refinement of economic forecasts and in the improvement of economic policy measures applied upon such forecasts.          Our econometric analysis covers and volatility of the CZK/EUR exchange rate h...

BB - Aplikovaná statistika, operační výzkum

  • 2009 - 2011
    • •
  • 1 430 tis. Kč
    • •
  • 1 430 tis. Kč
    • •
  • GA ČR
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