About: Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?

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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	Study of the financial market dependencies have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Current financial crisis have shown that understanding of the dependencies in the markets is crucial and it has even boosted the interest of researchers. this work brings new theoretical framework for the realized covariation estimation gener- alizing the current knowledge and bringing the estimation to the time-frequency domain for the first time. Usage of wavelets allows us to decompose the correlation measures into several investment horizons. our estimator is moreover able to separate individual jumps, co-jumps and true covariation from the high frequency data, thus brings better understanding of the dependence. the results have crucial impact on the portfolio diver- sification especially in the crisis years as they point to the strong dynamic relationships at various investment horizons. Study of the financial market dependencies have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Current financial crisis have shown that understanding of the dependencies in the markets is crucial and it has even boosted the interest of researchers. this work brings new theoretical framework for the realized covariation estimation gener- alizing the current knowledge and bringing the estimation to the time-frequency domain for the first time. Usage of wavelets allows us to decompose the correlation measures into several investment horizons. our estimator is moreover able to separate individual jumps, co-jumps and true covariation from the high frequency data, thus brings better understanding of the dependence. the results have crucial impact on the portfolio diver- sification especially in the crisis years as they point to the strong dynamic relationships at various investment horizons. (en)
Title	Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? (en)
skos:prefLabel	Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? (en)
skos:notation	RIV/67985556:_____/13:00396003!RIV14-AV0-67985556
http://linked.open...avai/predkladatel	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...avai/riv/aktivita	I
http://linked.open...avai/riv/aktivity	I
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Baruník, Jozef
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	64195
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/13:00396003
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	multivariate realized volatility; covariation; wavelets (en)
http://linked.open.../riv/klicoveSlovo	wavelets covariation multivariate realized volatility
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[BED0ADE70CCB]
http://linked.open...i/riv/nazevZdroje	ACTA VŠFS
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	2013
http://linked.open...v/svazekPeriodika	7
http://linked.open...iv/tvurceVysledku	Baruník, Jozef
issn	1802-792X
number of pages	25 (xsd:int)

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