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.


Selected publications

Grants and projects