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Determinants of exchange rate volatility: the case of the new EU members
The article analyzes key factors contributing to euro exchange rate volatility in the new EU members - the openness of an economy, the "news" factor, and the exchange rate regime. The TARCH model is employed to model the vo...
AH - Ekonomie
- 2007 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The Asymetric Impact of News on Stock Market Volatility
in EGARCH and TARCH models. The results of tests for normality confirm the assumption parameters of the EGARCH and the TARCH models reveal that volatility is an asymmetricIn this paper, some aspects of non-lineari...
AH - Ekonomie
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
Exchange Rate Volatility and the Asymmetric Fluctuation Band on the Way to the Eurozone
In this paper, the TARCH model extended by the concept of implicit target exchange rate is applied on daily data from seven NMS and candidate countries. The results suggest that symptoms of asymmetry were found in volatility of almo...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
On Asymmetry of Exchange Rate Volatility in New EU Member and Candidate Countries.
In this paper, we examine the exchange rate volatility in selected new EU Member States (Czech Republic, Hungary, Poland, Slovakia) and candidate countries (Croatia, Romania, Turkey) using TARCH model and daily data from the period ...
AH - Ekonomie
- 2007 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Three autoregressive models of exchange rates CZK/USD, CZK/EUR
In present study we focused on GARCH, TARCH and EGARCH models for analysis criteriafor validation of model (Akaike information criterion, Schwarz criterion and Log likelihood) were used. The lowest values were for the T...
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Three autoregressive models of exchange rates CZK/USD, CZK/EUR
In present study we focused on GARCH, TARCH and EGARCH models for analysis criteriafor validation of model (Akaike information criterion, Schwarz criterion and Log likelihood) were used. The lowest values were for the T...
BB - Aplikovaná statistika, operační výzkum
- 2007 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Evaluation of interferometric measuremet of the temperature of glass tarch
BH - Optika, masery a lasery
- 1994 •
- X
Rok uplatnění
X - Nezařazeno
Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis
The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the US dollar and British pound against the euro during the financial crisis. We apply a modified TARCH model on daily data coverin...
AH - Ekonomie
- 2012 •
- D
Rok uplatnění
D - Stať ve sborníku
9,10-bis(chlormethyl)anthracene - curing agent of coal tar pitch
Modified coal tarch pitch was prepared by Friedel-Crafts reaction with 9,10-bis(chlormethyl)anthracene (BCMA). With the aid of IR and Raman's spectroscopy it was found that BCMA reacted completely with aromatic components of pitch. This modi...
JJ - Ostatní materiály
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
The paper evaluates several hundred one-day-ahead VaR forecasting models - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes withup to two lags and variance with one of GARCH, EGARCH or <...
AH - Ekonomie
- 2011 •
- O
Rok uplatnění
O - Ostatní výsledky
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