Liquidity analysis and prediction in the processing industry by applying VG process: The case of the Czech Republic

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236749" target="_blank" >RIV/61989100:27510/17:10236749 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/cisla/vol20num1/dokumenty/NUM20VOL01PAP02_1.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/cisla/vol20num1/dokumenty/NUM20VOL01PAP02_1.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.7327/cerei.2017.03.02" target="_blank" >10.7327/cerei.2017.03.02</a>

Result language
angličtina
Original language name
Liquidity analysis and prediction in the processing industry by applying VG process: The case of the Czech Republic
Original language description
This paper is devoted to liquidity analysis and prediction possibilities in the processing industry in the Czech Republic. The objective of this paper is to propose and apply pyramidal decomposition of the current liquidity ratio time series of the processing industry in the Czech Republic. Further, we analysed the primary factors affecting liquidity ratio evolution and predicted a two-year probability distribution of the current liquidity ratio by applying the Variance Gamma process. In the paper, we identified four main factors, which influence liquidity in the processing industry in Czech Republic. Based on these findings, we modelled probability distribution of the liquidity for the period 2016 and 2017 with respect to the empirical distribution. It was shown that when Gaussian distribution is used, the risk is undervalued especially for heavy tails (extreme values) of the probability distribution.
Czech name
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Czech description
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Project
<a href="/en/project/GP14-15175P" target="_blank" >GP14-15175P: Determination of Chosen Commercial Banks' Probability of Default by Structural Models with Subordinated Lévy Processes</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
Ekonomická revue - Central European Review of Economics Issues
ISSN
1212-3951
e-ISSN
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Volume of the periodical
XX
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
12
Pages from-to
17-28
UT code for WoS article
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EID of the result in the Scopus database
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