Jan Hanousek

2Jan Frait
2Evžen Kočenda
1Lucjan Orlowski
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  • Evzen Kocenda, Juraj Valachy, Evžen Kočenda, Jan Babetskii, Balázs Égert, Jan Frait +5 others
  • 2006
We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate(More)
We performed an extensive simulation study to compare the relative performance of many price-jump indicators with respect to false positive and false negative probabilities. We simulated twenty different time series specifications with different intraday noise volatility patterns and price-jump specifications. The double McNemar (1947) non-parametric test(More)
We present a theoretical and empirical analysis of the question whether stability among the world anchor currencies (G3) is attainable. The theoretical model presented in this paper builds on a model of spatial competition and rests on a set of realistic assumptions related to the behavior of central banks, workings of exchange rate regimes, geography of(More)
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