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@inproceedings{1073233, author = {Kajurová, Veronika and Deev, Oleg and Stavárek, Daniel}, address = {Brno}, booktitle = {European Financial Systems 2012}, editor = {Mgr. Petr Červinek}, keywords = {Stock bubble; regime switching test; Hurst persistence test}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Brno}, isbn = {978-80-210-5940-5}, pages = {35-40}, publisher = {Masarykova univerzita}, title = {Stock Market Bubbles Investigation in the Czech Republic}, year = {2012} }
TY - JOUR ID - 1073233 AU - Kajurová, Veronika - Deev, Oleg - Stavárek, Daniel PY - 2012 TI - Stock Market Bubbles Investigation in the Czech Republic PB - Masarykova univerzita CY - Brno SN - 9788021059405 KW - Stock bubble KW - regime switching test KW - Hurst persistence test N2 - In this paper, we employ a special methodological technique to examine the presence/absence of the phenomenon of stock market bubbles in the Czech Republic. The methodology is based on the examining of residuals of VAR fundamentals with exclusion of ARCH effects. The presence/absence of bubbles is studied by Hurst persistence tests and regime switching tests. Although we observed the bubbles presence over various time periods, almost no evidence of speculative bubbles was found in the Czech stock market. ER -
KAJUROVÁ, Veronika, Oleg DEEV a Daniel STAVÁREK. Stock Market Bubbles Investigation in the Czech Republic. In Mgr. Petr Červinek. \textit{European Financial Systems 2012}. Brno: Masarykova univerzita. s.~35-40. ISBN~978-80-210-5940-5. 2012.
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