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  • The aim of this contribution is to analyse historical daily closing quotes of the key price index of the Prague Stock Exchange from an econometric point of view. In greater detail, a particular class of discrete-time state space models appropriate for this type of univariate financial time series is introduced. It combines various modelling con- cepts altogether; it joins a local level model, a linear ARMA process, and conditionally heteroscedastic innovations. The suggested modelling class is examined in different settings of parameters. The final model is selected with respect to information and prediction criteria. Moreover, it is statistically verified and further investigated, i.e. checked for outliers or structural breaks. Additionally, it is compared with other frequently applied models.
  • The aim of this contribution is to analyse historical daily closing quotes of the key price index of the Prague Stock Exchange from an econometric point of view. In greater detail, a particular class of discrete-time state space models appropriate for this type of univariate financial time series is introduced. It combines various modelling con- cepts altogether; it joins a local level model, a linear ARMA process, and conditionally heteroscedastic innovations. The suggested modelling class is examined in different settings of parameters. The final model is selected with respect to information and prediction criteria. Moreover, it is statistically verified and further investigated, i.e. checked for outliers or structural breaks. Additionally, it is compared with other frequently applied models. (en)
Title
  • The Prague Stock Exchange Index: An Econometric Analysis
  • The Prague Stock Exchange Index: An Econometric Analysis (en)
skos:prefLabel
  • The Prague Stock Exchange Index: An Econometric Analysis
  • The Prague Stock Exchange Index: An Econometric Analysis (en)
skos:notation
  • RIV/00216208:11320/14:10282458!RIV15-GA0-11320___
http://linked.open...avai/riv/aktivita
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  • P(GBP402/12/G097)
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  • 38491
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  • RIV/00216208:11320/14:10282458
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  • state space analysis; PX index; Prague Stock Exchange; local level model; Financial time series (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [F8205783EB71]
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  • Granada, Spain
http://linked.open...i/riv/mistoVydani
  • Granada, Spain
http://linked.open...i/riv/nazevZdroje
  • Proceedings of ITISE 2014 International work-conference on Time Series
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  • Hendrych, Radek
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http://linked.open.../riv/zahajeniAkce
number of pages
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  • Copicentro Granada S.L.
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  • 978-84-15814-97-9
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  • 11320
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