Publication details

Czech PX: Efficiency Analysis, Autocorrelations and Risk Quantification

Authors

SVOBODA Martin REUSE Svend ZURECK Alexander

Year of publication 2014
Type Article in Proceedings
Conference Řízení a modelování finančních rizik
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Economy
Keywords Price Index; Risk; Return; Correlations; Autocorrelation; Backtesting; Asset Allocation
Description 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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