. . . . . . "2016-12-31+01:00"^^ . . "V\u00FDzkumn\u00FD projekt se zab\u00FDv\u00E1 anal\u00FDzou spole\u010Dn\u00E9ho cenov\u00E9ho pohybu a rizika na finan\u010Dn\u00EDch trz\u00EDch pomoc\u00ED nov\u00FDch ekonometrick\u00FDch metod a jejich teoreticky odd\u016Fvodn\u011Bn\u00FDch modfikac\u00ED s hlavn\u00EDm zam\u011B\u0159en\u00EDm na studium vztah\u016F rozv\u00EDjej\u00EDc\u00EDch se evropsk\u00FDch a glob\u00E1ln\u00EDch vysp\u011Bl\u00FDch finan\u010Dn\u00EDch a komoditn\u00EDch trh\u016F. Studium vztah\u016F mezi finan\u010Dn\u00EDmi trhy na z\u00E1klad\u011B frekven\u010Dn\u00EDho rozkladu m\u016F\u017Ee uk\u00E1zat rozd\u00EDly, kter\u00E9 vznikly d\u00EDky r\u016Fzn\u00E9mu stupni tr\u017En\u00ED integrace. Tr\u017En\u00ED dominance a p\u0159el\u00E9v\u00E1n\u00ED sentimentu mohou potenci\u00E1ln\u011B zp\u016Fsobovat tak\u00E9 m\u00E9n\u011B z\u0159eteln\u00E9 vz\u00E1jemn\u00E9 tr\u017En\u00ED pohyby. V dynamice trh\u016F m\u016F\u017Eeme nav\u00EDc pozorovat zm\u011Bny re\u017Eim\u016F, skoky a r\u016Fzn\u00E9 druhy asymetri\u00ED. Vzhledem k heterogenit\u011B \u00FA\u010Dastn\u00EDk\u016F na trhu, m\u016F\u017Ee dynamika korelac\u00ED vykazovat odli\u0161n\u00E9 chov\u00E1n\u00ED v r\u016Fzn\u00FDch \u010Dasov\u00FDch obdob\u00EDch a na r\u016Fzn\u00FDch \u010Dasov\u00FDch horizontech. Glob\u00E1ln\u00ED finan\u010Dn\u00ED krize, kter\u00E1 je p\u0159\u00ED\u010Dinou turbulenc\u00ED a negativn\u00EDch tr\u017En\u00EDch \u0161ok\u016F, zcela z\u0159eteln\u011B uk\u00E1zala pot\u0159ebu studovat tyto jevy na finan\u010Dn\u00EDch trz\u00EDch." . . "2014-01-01+01:00"^^ . . "GA14-24129S" . . . "Dynamick\u00E9 korelace a riziko na finan\u010Dn\u00EDch trz\u00EDch" . . "dynamic correlation" . "Dynamic correlations and financial market risk"@en . "http://www.isvav.cz/projectDetail.do?rowId=GA14-24129S"^^ . . . "0"^^ . "dynamic correlation, financial market risk, high-frequency data, commodity markets"@en . " financial market risk" . "1"^^ . "2014-03-31+02:00"^^ . . "1"^^ . . . "1"^^ . "The aim of the research project is to analyze financial risk and market co-movements using novel econometric methods and their theoretically grounded modifications. The main focus will be on emerging European markets with respect to global developed markets, as well as important assets from commodities markets. Co-movements between the markets based on different data frequencies may potentially show disparities in the degree of market synchronization due to different degrees of market integration. However, less pronounced co-movements might be due to market spillovers or market domination. Dynamics may also exhibit regime changes, jumps, and asymmetries. Moreover, correlation dynamics may well follow different patterns at various time horizons as heterogenous traders with decisions over various investment horizons are interacting in the markets. Importance to analyze these issues became more acute due to the global financial crisis, which was characterized by a series of joint negative shocks and increased turbulence."@en . . "1"^^ . " high-frequency data" . "2015-04-23+02:00"^^ .