. "St\u0159elec, Lubo\u0161" . "RIV/62156489:43110/07:00111261!RIV09-MSM-43110___" . "43110" . . . . "R/S analysis of financial markets"@en . "Kvantitat\u00EDvne metody v ekonomii - metodologick\u00E9 a praktick\u00E9 aspekty v\u00FDskumu" . "R/S anal\u00FDza finan\u010Dn\u00EDch trh\u016F"@cs . "[2D8BC0E03595]" . "R/S anal\u00FDza finan\u010Dn\u00EDch trh\u016F" . "\u010Cl\u00E1nek se zab\u00FDv\u00E1 R/S anal\u00FDzou vybran\u00FDch finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad. Zdrojov\u00FDmi daty jsou denn\u00ED uzav\u00EDrac\u00ED ceny vybran\u00FDch sv\u011Btov\u00FDch burzovn\u00EDch index\u016F a devizov\u00FDch kurz\u016F za obdob\u00ED 01/2000 a\u017E 06/2007. Pomoc\u00ED metody R/S anal\u00FDzy byl pro v\u00FDnosy sledovan\u00FDch finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad vypo\u010Dten Hurst\u016Fv exponent a na z\u00E1klad\u011B n\u011Bho odhadnuta frakt\u00E1ln\u00ED dimenze. Z v\u00FDsledn\u00FDch hodnot Hurstova exponentu bylo zji\u0161t\u011Bno, \u017Ee n\u011Bkter\u00E9 ze sledovan\u00FDch finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad (nap\u0159. devizov\u00FD kurz CZK/EUR \u010Di burzovn\u00ED index ATX) vykon\u00E1vaj\u00ED persistentn\u00ED proces s dlouhodobou pam\u011Bt\u00ED s hodnotou Hurstova exponentu v rozmez\u00ED 0,55 - 0,73, jin\u00E9 sledovan\u00E9 finan\u010Dn\u00ED \u010Dasov\u00E9 \u0159ady (nap\u0159. devizov\u00FD kurz HUF/EUR \u010Di otev\u00EDrac\u00ED ceny burzovn\u00EDho indexu S&P 500) vykon\u00E1vaj\u00ED antipersistentn\u00ED proces, av\u0161ak v\u011Bt\u0161ina sledovan\u00FDch \u010Dasov\u00FDch \u0159ad se vyzna\u010Duje i.i.d. procesem." . . "R/S analysis of financial markets"@en . . "RIV/62156489:43110/07:00111261" . "Slovensk\u00E1 po\u013Enohospod\u00E1rska univerzita v Nitre. Fakulta ekonomiky a mana\u017Ementu. Katedra \u0161tatistiky a opera\u010Dn\u00E9ho v\u00FDskumu" . "This article deals with issues of R/S analysis of selected financial time series. Source data are daily closing prices of selected stock exchange indexes and exchange rates in the period 01/2000 to 06/2007. To calculate Hurst exponent and fractal dimension R/S analysis was carried out. It was concluded that some logarithmic ratios of selected financial time series (e.g. exchange rate CZK/EUR or stock exchange index ATX) follow a persistent process with Hurst exponent 0,55 to 0,73 pointing at long-memory effect, whereas some time series (e.g. exchange rate HUF/EUR or opening prices of stock exchange index S&P 500) follow an antipersistent process and even some would imply an independent process."@en . "\u010Cl\u00E1nek se zab\u00FDv\u00E1 R/S anal\u00FDzou vybran\u00FDch finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad. Zdrojov\u00FDmi daty jsou denn\u00ED uzav\u00EDrac\u00ED ceny vybran\u00FDch sv\u011Btov\u00FDch burzovn\u00EDch index\u016F a devizov\u00FDch kurz\u016F za obdob\u00ED 01/2000 a\u017E 06/2007. Pomoc\u00ED metody R/S anal\u00FDzy byl pro v\u00FDnosy sledovan\u00FDch finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad vypo\u010Dten Hurst\u016Fv exponent a na z\u00E1klad\u011B n\u011Bho odhadnuta frakt\u00E1ln\u00ED dimenze. Z v\u00FDsledn\u00FDch hodnot Hurstova exponentu bylo zji\u0161t\u011Bno, \u017Ee n\u011Bkter\u00E9 ze sledovan\u00FDch finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad (nap\u0159. devizov\u00FD kurz CZK/EUR \u010Di burzovn\u00ED index ATX) vykon\u00E1vaj\u00ED persistentn\u00ED proces s dlouhodobou pam\u011Bt\u00ED s hodnotou Hurstova exponentu v rozmez\u00ED 0,55 - 0,73, jin\u00E9 sledovan\u00E9 finan\u010Dn\u00ED \u010Dasov\u00E9 \u0159ady (nap\u0159. devizov\u00FD kurz HUF/EUR \u010Di otev\u00EDrac\u00ED ceny burzovn\u00EDho indexu S&P 500) vykon\u00E1vaj\u00ED antipersistentn\u00ED proces, av\u0161ak v\u011Bt\u0161ina sledovan\u00FDch \u010Dasov\u00FDch \u0159ad se vyzna\u010Duje i.i.d. procesem."@cs . "hurst exponent; financial time series; r/s analysis; persistent and antipersistent process; i.i.d. process"@en . "R/S anal\u00FDza finan\u010Dn\u00EDch trh\u016F"@cs . . "1"^^ . "S" . "6"^^ . . . . "Nitra, Slovensk\u00E1 republika" . "1"^^ . "448605" . . . . "978-80-8069-931-4" . "R/S anal\u00FDza finan\u010Dn\u00EDch trh\u016F" . . . .