Czech PX: Efficiency Analysis, Autocorrelations and Risk Quantification
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek ve sborníku |
| Konference | Řízení a modelování finančních rizik |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Ekonomie |
| Klíčová slova | Price Index; Risk; Return; Correlations; Autocorrelation; Backtesting; Asset Allocation |
| Popis | 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. |
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