About: Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market     Goto   Sponge   NotDistinct   Permalink

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Description
  • In this paper an application of ARCH models is shown. These models are specifically designed to model and forecast conditional variances. The variance of the dependent variable is modeled as a function of past values of squared variances and squared residuals. This article examines possibilities of ARCH model using for analysis time series of Czech and Slovak stock return data. The appropriate types of ARCH models, estimation of the ARCH model parameters are also described in a simple manner (en)
  • V tomto příspěvku je demonstrováno využití ARCH modelů. Tyto modely jsou vytvořeny speciálně za účelem modelování a predikce podmíněné variance. Variance závislé proměnné je modelována jako funkce minulých hodnot čtverců rozptylů a čtverců reziduí. Tento článek zkoumá možnosti využití ARCH modelů pro analýzu časových řad výnosů českého a slovenského akciových trhu. Také jsou zde stručně popsány některé typy ARCH modelů a odhady parametrů těchto modelů
Title
  • Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market
  • Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market (en)
  • Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market (cs)
skos:prefLabel
  • Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market
  • Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market (en)
  • Possibilities of ARCH Model Using for Analysis of the Czech and Slovak Equity Market (cs)
skos:notation
  • RIV/61989100:27510/02:00002218!RIV/2003/MSM/275103/N
http://linked.open.../vavai/riv/strany
  • 224-229
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 659108
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/02:00002218
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • equity market, ARCH model, time series, modelling, forecasting (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [93B8BA11A7DF]
http://linked.open...v/mistoKonaniAkce
  • Nitra
http://linked.open...i/riv/mistoVydani
  • Nitra
http://linked.open...i/riv/nazevZdroje
  • Quantitative Methods in Economics (Multiple Criteria decision Making XI)
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...ocetUcastnikuAkce
http://linked.open...nichUcastnikuAkce
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Seďa, Petr
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Slovenská poľnohospodárská vedecko-technická společnost, SPU
https://schema.org/isbn
  • 80-8069-114-2
http://localhost/t...ganizacniJednotka
  • 27510
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