Price jumps analysis of the PSE and Visegrad indices

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F09%3A00337846" target="_blank" >RIV/00216208:11640/09:00337846 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Price jumps analysis of the PSE and Visegrad indices
Original language description
In this study I employ high frequency 5 minute market data of close prices of the main indices from Prague, Warsaw, Budapest and Frankfurt and perform a detailed price jump analysis focusing on tail behavior. The data spans June 2003 to the end of the 2008. I use two definitions of price fluctuation, namely the price jump index and normalized returns.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F1376" target="_blank" >GA402/08/1376: Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-day Data Approach</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 27th International Conference Mathematical Methods in Economics 2009
ISBN
978-80-213-1963-9
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
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Publisher name
Czech University of Life Sciences Prague
Place of publication
Prague
Event location
Kostelec nad Černými lesy
Event date
Sep 9, 2009
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
000275146900044

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