Financial Econometrics
Field characteristic
Research was focused on applied econometric analysis of financial
markets. The seasonality and nontrading effects on Central
European stock markets was investigated. The results of the
research were presented and will be published in. Second, a
thorough analysis of the Czech high-frequency equity data was
carried out. Attention was focused on the trading intensity and
intraday volatility on the Prague Stock exchange and on the impact
of trades on market makers' quote revisions. Two working papers
have emerged from this research, while the second is
subject to a referee process at the same institution. Finally, the
dependence structures on Central European Stock markets was
examined using copulas. This research is still under progress and
will be submitted to IES Working Paper Series for the referee
process by the end of March this year.
People
Selected publications
- Žikeš F.: Dependence structures in central Europe capital
markets. Working Paper IES FSV UK.
Grants and projects
- System and Non-system Components of a Quotation Risk in the Czech Economy
Alexis Derviz, grant No. 402/05/0671
of the Czech Science Foundation.
