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@inproceedings{1205512, author = {Svoboda, Martin and Reuse, Svend and Zureck, Alexander}, address = {Ostrava}, booktitle = {Řízení a modelování finančních rizik}, edition = {1}, keywords = {Price Index; Risk; Return; Correlations; Autocorrelation; Backtesting; Asset Allocation}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Ostrava}, isbn = {978-80-248-3631-7}, pages = {676-683}, publisher = {Vysoká škola báňská –Technická univerzita Ostrava}, title = {Czech PX: Efficiency Analysis, Autocorrelations and Risk Quantification}, year = {2014} }
TY - JOUR ID - 1205512 AU - Svoboda, Martin - Reuse, Svend - Zureck, Alexander PY - 2014 TI - Czech PX: Efficiency Analysis, Autocorrelations and Risk Quantification PB - Vysoká škola báňská –Technická univerzita Ostrava CY - Ostrava SN - 9788024836317 KW - Price Index KW - Risk KW - Return KW - Correlations KW - Autocorrelation KW - Backtesting KW - Asset Allocation N2 - This article extends previous findings of the authors and analyzes risk and return of the Czech PX in comparison to the DAX 30 and the EuroStoxx 50. Diversification effects and the tests on normal distribution are analyzed. In addition, this work focuses on a longer period, autocorrelation effects, and a backtesting of the VaR analysis. ER -
SVOBODA, Martin, Svend REUSE a Alexander ZURECK. Czech PX: Efficiency Analysis, Autocorrelations and Risk Quantification. In \textit{Řízení a modelování finančních rizik}. 1. vyd. Ostrava: Vysoká škola báňská –Technická univerzita Ostrava, 2014, s.~676-683. ISBN~978-80-248-3631-7.
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