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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F12%3A%230001931%21RIV13-MSM-19520___
rdf:type
n18:Vysledek skos:Concept
dcterms:description
The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the Czech koruna against the euro during the financial crisis. We apply a modified TARCH model on daily data covering the period 1 March 2007 - 31 March 2011 divided into four phases of the financial crisis. The results suggest that the presence of asymmetric attributes of the exchange rate volatility were relatively common particularly during the phases of crisis initialization and culmination. Although the results are somewhat contradictory, the increase of volatility is predominantly associated with appreciation-side divergences from the implicit target exchange rate. The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the Czech koruna against the euro during the financial crisis. We apply a modified TARCH model on daily data covering the period 1 March 2007 - 31 March 2011 divided into four phases of the financial crisis. The results suggest that the presence of asymmetric attributes of the exchange rate volatility were relatively common particularly during the phases of crisis initialization and culmination. Although the results are somewhat contradictory, the increase of volatility is predominantly associated with appreciation-side divergences from the implicit target exchange rate.
dcterms:title
Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility
skos:prefLabel
Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility
skos:notation
RIV/47813059:19520/12:#0001931!RIV13-MSM-19520___
n18:predkladatel
n19:orjk%3A19520
n3:aktivita
n15:I
n3:aktivity
I
n3:dodaniDat
n8:2013
n3:domaciTvurceVysledku
n20:9301623
n3:druhVysledku
n11:D
n3:duvernostUdaju
n4:S
n3:entitaPredkladatele
n12:predkladatel
n3:idSjednocenehoVysledku
151082
n3:idVysledku
RIV/47813059:19520/12:#0001931
n3:jazykVysledku
n14:eng
n3:klicovaSlova
exchange rate, volatility, asymmetry, financial crisis, TGARCH
n3:klicoveSlovo
n6:TGARCH n6:volatility n6:financial%20crisis n6:exchange%20rate n6:asymmetry
n3:kontrolniKodProRIV
[15271DBA32D1]
n3:mistoKonaniAkce
Petrovice u Karviné
n3:mistoVydani
Karviná
n3:nazevZdroje
Conference Proceedings of the International Scientific Conference ICT for Competitiveness 2012
n3:obor
n5:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n8:2012
n3:tvurceVysledku
Stavárek, Daniel
n3:typAkce
n16:WRD
n3:zahajeniAkce
2012-01-01+01:00
s:numberOfPages
7
n7:hasPublisher
Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
n21:isbn
978-80-7248-731-8
n10:organizacniJednotka
19520