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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GP14-15175P" target="_blank" >GP14-15175P: Stanovení pravděpodobnosti úpadku vybraných komerčních bank dle strukturálních modelů s využitím podřízených Lévyho procesů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Ekonomická revue - Central European Review of Economics Issues

ISSN

1212-3951

e-ISSN

—

Svazek periodika

XX

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

17-28

Kód UT WoS článku

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EID výsledku v databázi Scopus

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