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Long-range dependence in returns and volatility of Central European Stock Indices
In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Testing power-law cross-correlations: rescaled covariance test
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range cross-corre...
AH - Ekonomie
- 2013 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled <...
AH - Ekonomie
- 2015 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-range correlation detection - classical and modified rescaled range analyses. A focus is put on an effect of different distributional propert...
AH - Ekonomie
- 2012 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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Applications of Rescaled Range Analysis at Financial Markets.
Basic themes in document: financial markets; R/S analysis. ? ˇ ? Ę Î Đ ç đ ?...
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
Globalization
Discussion of approaches to globalization, its causes, consequences of rescaling of human activities and formation of the spaces of flows...
AO - Sociologie, demografie
- 2012 •
- C
Rok uplatnění
C - Kapitola v odborné knize
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation?rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on dif...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Multidimensional variance analysis-application examples.
The article deals with multidimensional variance analysis, its application examples.
GK - Lesnictví
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
Testing hypotheses about the parameters of the shifted and rescaled Wiener process
The paper deals with testing hypotheses about the shift and scale parameters of Wiener process. Tests are based on the first time when the process reaches a pre-specified positive boundary....
BA - Obecná matematika
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
Analysis of the Results of Math Tests at the University of Ecomomics in Prague
Main topics of the document: entrance exams in mathematics; differences between test variants; analysis of variance variance......
Statistics and probability
- 2019 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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