Analýza volatility devizových kurzů vybraných ekonomik

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dc.contributor.authorBednařík, Radek
dc.date.accessioned2012-02-01T11:01:39Z
dc.date.available2012-02-01T11:01:39Z
dc.date.issued2009
dc.description.abstract-enThis paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that current relatively large increment of foreign exchange markets' volatility is nothing special in the historical context considering the length and the extent of the volatility clusters during turbulent periods. Using various kinds of (G)ARCH models of volatility and subsequent graphical analysis we were able to empirically confirm this statement.cs
dc.format.extent1909086 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.citationEkonomická revue. 2009, roč. 12, č. 2, s. 83-92 : il.cs
dc.identifier.doi10.7327/cerei.2009.06.04
dc.identifier.issn1212-3951
dc.identifier.urihttp://hdl.handle.net/10084/90096
dc.language.isocs
dc.publisherVysoká škola báňská - Technická univerzita Ostravacs
dc.relation.ispartofseriesEkonomická revuecs
dc.relation.urihttp://dx.doi.org/10.7327/cerei.2009.06.04
dc.rights© Vysoká škola báňská - Technická univerzita Ostravacs
dc.rights.accessopenAccess
dc.titleAnalýza volatility devizových kurzů vybraných ekonomikcs
dc.typearticle
dc.type.statusPeer-reviewed
dc.type.versionpublishedVersion

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Ekonomická revue. 2009, roč. 12
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