About: An application of the GARCH-t model on Central European stock returns     Goto   Sponge   NotDistinct   Permalink

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

AttributesValues
rdf:type
Description
  • The purpose of this paper is investigate the time-series and distributional properties of Central European stock returns. We employ the BDS test to assess the ability of the estimated GARCH-t model to capture all nonlinearities in stock returns. Our empirical findings reveal that the Czech and Hungarian stock market indices are predictable from the time series of historical prices, whereas that of Poland is not.
  • The purpose of this paper is investigate the time-series and distributional properties of Central European stock returns. We employ the BDS test to assess the ability of the estimated GARCH-t model to capture all nonlinearities in stock returns. Our empirical findings reveal that the Czech and Hungarian stock market indices are predictable from the time series of historical prices, whereas that of Poland is not. (en)
  • Cílem článku je analýza časových řad a jejich distribučních vlastností na burzách Střední Evropy. Pro analýzu se používá BDS testu k ověření možnosti užít GARCH-t modelu. Bylo ověřeno, že kapitálový trh v České republice a Maďarsku je predikovatelný, zatímco kapitálový trh v Polsku takový není (cs)
Title
  • An application of the GARCH-t model on Central European stock returns
  • Aplikace GARCH-t modelu na burzách Střední Evropy (cs)
  • An application of the GARCH-t model on Central European stock returns (en)
skos:prefLabel
  • An application of the GARCH-t model on Central European stock returns
  • Aplikace GARCH-t modelu na burzách Střední Evropy (cs)
  • An application of the GARCH-t model on Central European stock returns (en)
skos:notation
  • RIV/67985556:_____/04:00106216!RIV/2005/GA0/A16005/N
http://linked.open.../vavai/riv/strany
  • 26;39
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/01/0034), P(GA402/04/1294), Z(AV0Z1075907)
http://linked.open...iv/cisloPeriodika
  • 1
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
  • 554062
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/04:00106216
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • conditional heteroskedasticity;GARCH;leptokurtosis (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [FA1E331DBBAC]
http://linked.open...i/riv/nazevZdroje
  • Prague Economic Papers
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 12
http://linked.open...iv/tvurceVysledku
  • Vošvrda, Miloslav
  • Žikeš, Filip
http://linked.open...n/vavai/riv/zamer
issn
  • 1210-0455
number of pages
Faceted Search & Find service v1.16.118 as of Jun 21 2024


Alternative Linked Data Documents: ODE     Content Formats:   [cxml] [csv]     RDF   [text] [turtle] [ld+json] [rdf+json] [rdf+xml]     ODATA   [atom+xml] [odata+json]     Microdata   [microdata+json] [html]    About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data] Valid XHTML + RDFa
OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 112 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software