About: IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Volatility measuring is an important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. This paper deals with the impact of the global financial crisis on Central European stock market volatility represented by the Czech and Polish stock markets. Therefore, fluctuations and volatility in these markets before, during and after the crisis were analyzed. This paper tries to identify the length of the global financial crisis, estimate the potential risk in the stock market during financial turmoil and analyze the characteristics of the risk. For a comprehensive analysis, several sophisticated models of quantitative financial analysis were adopted. We especially worked with Jump-Diffusion GARCH model considering heteroskedasticity which allow greater accuracy than simple GARCH type volatility models. Volatility measuring is an important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. This paper deals with the impact of the global financial crisis on Central European stock market volatility represented by the Czech and Polish stock markets. Therefore, fluctuations and volatility in these markets before, during and after the crisis were analyzed. This paper tries to identify the length of the global financial crisis, estimate the potential risk in the stock market during financial turmoil and analyze the characteristics of the risk. For a comprehensive analysis, several sophisticated models of quantitative financial analysis were adopted. We especially worked with Jump-Diffusion GARCH model considering heteroskedasticity which allow greater accuracy than simple GARCH type volatility models. (en)
Title	IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET (en)
skos:prefLabel	IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET (en)
skos:notation	RIV/61989100:27510/12:86082798!RIV14-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Seďa, Petr
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	140712
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86082798
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Global Financial Crisis, Central European Stock Market, Heteroskedasticity, Annualized Return, Volatility, Jump-Diffusion GARCH model (en)
http://linked.open.../riv/klicoveSlovo	Volatility Annualized Return Central European Stock Market Global Financial Crisis Heteroskedasticity Jump-Diffusion GARCH model
http://linked.open...ontrolniKodProRIV	[9EA20FF73474]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Opava
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Seďa, Petr
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000316715900135
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	27510

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