Scaling of dependence between foreign exchange rates and stock markets in Central Europe
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00472032" target="_blank" >RIV/67985556:_____/16:00472032 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10324560
Result on the web
<a href="http://dx.doi.org/10.12693/APhysPolA.129.908" target="_blank" >http://dx.doi.org/10.12693/APhysPolA.129.908</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.12693/APhysPolA.129.908" target="_blank" >10.12693/APhysPolA.129.908</a>
Alternative languages
Result language
angličtina
Original language name
Scaling of dependence between foreign exchange rates and stock markets in Central Europe
Original language description
We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GP14-11402P" target="_blank" >GP14-11402P: Bivariate long memory analysis of financial time series</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS
ISBN
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ISSN
0587-4246
e-ISSN
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Number of pages
5
Pages from-to
908-912
Publisher name
Polish Academy of Science, Institute of Physics
Place of publication
Warszawa
Event location
Rzeszów
Event date
Nov 4, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000378613400003