All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”
EN
ČeštinaEnglish

Filters

165 256 (0,299s) •

Result

Examination of relationships between time series by wavelets: illustration with Czech stock and industrial production data

Main topics of the document: wavelets; time series; economy; comovement...

BB - Aplikovaná statistika, operační výzkum

  • 2016
    • •
  • D
    • •
  • Link
Result

A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks

We propose a novel method for econometric time series analysis. This method acts as the comovement-selective filter and is useful to filter out the cycles that are caused by an global event present in the reference time...

AH - Ekonomie

  • 2014
    • •
  • Jx
    • •
  • Link
Result

Wavelet transform and its application to the analysis of the comovement of stock returns

Basic themes of document: wavelet variance; wavelet transform; wavelet cross-covariance; time series...

BB - Aplikovaná statistika, operační výzkum

  • 2010
    • •
  • D
Result

Historical decoupling in the EU: Evidence from time-frequency analysis

We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during with an updated historical overview of economic cycle comovements in 24 E...

Finance

  • 2019
    • •
  • Jimp
    • •
  • Link
Result

Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data

of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in timeIn this paper, we contribute to the literatur...

AH - Ekonomie

  • 2010
    • •
  • D
Result

Time-varying comovements in developed and emerging European stock markets: evidence from intraday data

We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets....

AH - Ekonomie

  • 2007
    • •
  • O
Result

Contagion among Central and Eastern European stock markets during the financial crisis

the relationship between stock markets in a time-frequency domain. While major part of economic time series analysis is done in time or frequency domain separately, waveletThis paper contributes to the literature ...

AH - Ekonomie

  • 2013
    • •
  • Jx
Result

Comovement and disintegration of EU sovereign bond markets during the crisis

In this paper, we show that the comovement of bond yields in the EU before cohesion and wavelet coherence, we demonstrate that the comovement is concentrated mainly at low frequencies. The comovement decreased in the eurozo...

Applied Economics, Econometrics

  • 2019
    • •
  • Jimp
    • •
  • Link
Result

Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock mark...

AH - Ekonomie

  • 2013
    • •
  • Jx
    • •
  • Link
Result

Analysis of stock markets volatility comovements using wavelet transformation: example from Central European stock market

This paper deals with testing the comovements of stock markets volatility using wavelet analysis during different time periods. The aim of this paper is to provide empirical wavelet analysis which is able to identify key periods and...

AH - Ekonomie

  • 2013
    • •
  • D
  • 1 - 10 out of 165 256