Publikace na Fakulta sociálních věd, Matematicko-fyzikální fakulta, Centrum pro ekonomický výzkum a doktorské studium |
2009
Abstrakt
In this study I employ high frequency 5 minute market data of close prices of the main indices from Prague, Warsaw, Budapest and Frankfurt and perform a detailed price jump analysis focusing on tail behavior. The data spans June 2003 to the end of the 2008.
I use two definitions of price fluctuation, namely the price jump index and normalized returns.