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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F10%3A%230000556%21RIV11-GA0-19520___
rdf:type
skos:Concept n12:Vysledek
dcterms:description
The paper estimates exchange rate volatility and assess its asymmetric components in three Central European countries during various phases of the recent financial crisis. Applying extended TGARCH model and daily exchange rates data we reveal that the exchange rate volatility varied substantially among the currencies and over the crisis with a double peak during the crisis culmination. We found some symptoms of asymmetry in all exchange rates and realized that mainly appreciation-side deviations from the target exchange rate increase the exchange rate volatility. The paper estimates exchange rate volatility and assess its asymmetric components in three Central European countries during various phases of the recent financial crisis. Applying extended TGARCH model and daily exchange rates data we reveal that the exchange rate volatility varied substantially among the currencies and over the crisis with a double peak during the crisis culmination. We found some symptoms of asymmetry in all exchange rates and realized that mainly appreciation-side deviations from the target exchange rate increase the exchange rate volatility.
dcterms:title
The effect of financial crisis on asymmetry of the exchange rate volatility in Central Europe The effect of financial crisis on asymmetry of the exchange rate volatility in Central Europe
skos:prefLabel
The effect of financial crisis on asymmetry of the exchange rate volatility in Central Europe The effect of financial crisis on asymmetry of the exchange rate volatility in Central Europe
skos:notation
RIV/47813059:19520/10:#0000556!RIV11-GA0-19520___
n5:aktivita
n17:P
n5:aktivity
P(GA402/08/0067)
n5:dodaniDat
n13:2011
n5:domaciTvurceVysledku
n15:9301623
n5:druhVysledku
n20:D
n5:duvernostUdaju
n11:S
n5:entitaPredkladatele
n16:predkladatel
n5:idSjednocenehoVysledku
255986
n5:idVysledku
RIV/47813059:19520/10:#0000556
n5:jazykVysledku
n19:eng
n5:klicovaSlova
exchange rate, volatility, asymmetry, financial crisis, TGARCH
n5:klicoveSlovo
n6:exchange%20rate n6:financial%20crisis n6:TGARCH n6:asymmetry n6:volatility
n5:kontrolniKodProRIV
[3FC53BEFA710]
n5:mistoKonaniAkce
České Budějovice
n5:mistoVydani
České Budějovice
n5:nazevZdroje
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010
n5:obor
n9:AH
n5:pocetDomacichTvurcuVysledku
1
n5:pocetTvurcuVysledku
1
n5:projekt
n7:GA402%2F08%2F0067
n5:rokUplatneniVysledku
n13:2010
n5:tvurceVysledku
Stavárek, Daniel
n5:typAkce
n8:EUR
n5:wos
BTS47
n5:zahajeniAkce
2010-01-01+01:00
s:numberOfPages
6
n21:hasPublisher
University of South Bohemia, Faculty of Economics
n14:isbn
978-80-7394-218-2
n18:organizacniJednotka
19520