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Tail behavior of the Central European stock markets during the financial crisis

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10048537" target="_blank" >RIV/00216208:11230/10:10048537 - isvavai.cz</a>

  • Alternative codes found

    RIV/67985556:_____/10:00349713

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Tail behavior of the Central European stock markets during the financial crisis

  • Original language description

    In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the dataof the 4-year period from March 2005 to March 2009 with the stable probability distribution model and discuss its tail behavior. As the estimation of the tail exponent is very sensitive to the size of the data set, the estimates can be misleading for short daily samples. Thus, we employ high-frequency 1-minute data, which proves to be a good choice as it reveals interesting findings about the distributional properties. Furthermore, we study the difference in stock market behavior before and during thefinancial crisis.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2010

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Acta Universitatis Carolinae. Oeconomica, Czech Economic Review

  • ISSN

    1802-4696

  • e-ISSN

  • Volume of the periodical

    4

  • Issue of the periodical within the volume

    3

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    13

  • Pages from-to

  • UT code for WoS article

  • EID of the result in the Scopus database