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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F13%3A00396003%21RIV14-AV0-67985556
rdf:type
skos:Concept n13:Vysledek
dcterms: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.
dcterms: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?
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?
skos:notation
RIV/67985556:_____/13:00396003!RIV14-AV0-67985556
n13:predkladatel
n14:ico%3A67985556
n4:aktivita
n6:I
n4:aktivity
I
n4:cisloPeriodika
1
n4:dodaniDat
n5:2014
n4:domaciTvurceVysledku
n8:4745167
n4:druhVysledku
n9:J
n4:duvernostUdaju
n12:S
n4:entitaPredkladatele
n16:predkladatel
n4:idSjednocenehoVysledku
64195
n4:idVysledku
RIV/67985556:_____/13:00396003
n4:jazykVysledku
n11:eng
n4:klicovaSlova
multivariate realized volatility; covariation; wavelets
n4:klicoveSlovo
n7:covariation n7:wavelets n7:multivariate%20realized%20volatility
n4:kodStatuVydavatele
CZ - Česká republika
n4:kontrolniKodProRIV
[BED0ADE70CCB]
n4:nazevZdroje
ACTA VŠFS
n4:obor
n17:AH
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
1
n4:rokUplatneniVysledku
n5:2013
n4:svazekPeriodika
7
n4:tvurceVysledku
Baruník, Jozef
s:issn
1802-792X
s:numberOfPages
25