Miloslav Vošvrda
Biographic Data
| ID | 4125180 |
|---|---|
| NAME | Miloslav Vošvrda |
| GIVEN NAMES | Miloslav |
| FAMILY NAME | Vošvrda |
| SIGNATURE | VOŠVRDA M |
| AFFILIATIONS | Charles University |
| ORCID | 0000-0001-9821-9059 |
| VERIFIED | No |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 5 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2006 |
| LATEST PUBLICATION YEAR | 2020 |
| H-INDEX | 2 |
Významný příspěvek k problematice modelů DSGE
Mnov analytick modely, kter se pouvaj pro rozhodovn centrlnch bank v rmci mnov politiky v poslednch desetiletch, pat do tdy model dynamick stochastick celkov rovnovhy (DSGE). Tato situace m bezpochyby zptn vliv na vdeckou oblast, kdy se ve vdeckch asopisech v souasnosti objevuj tm vhradn lnky, kter jako nstroj analzy vyuvaj model DSGE
Capital Markets Efficiency
In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found ? the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; an…
Stock market crashes modeling
We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. On the data of U.S. stock markets we demonstrate that the crash of 1987 may be better explained by cusp catastrophe theory, which is not true for the crash of 2001. With the help of sentiment measures, such as index put/call options ratio and volume (the former models the proportion of the chartists, while the latter the fundamentalists), …
Product, capital stock and price dynamics in a simple model of closed economy
A purpose of this paper is to formulate a continuous dynamical model for a small closed economy with a simple structure and with a minimum number of non-linearities. A basis of this model is developed from dynamical Kaldorian model. Variables in the modified dynamical Kaldorian model are in a logarithm scale. A form of the logistic function is used for non-linear connections in this model. The model is formed by four differential equations. First…
Capital Markets Efficiency
In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found ? the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; an…
Product, capital stock and price dynamics in a simple model of closed economy
A purpose of this paper is to formulate a continuous dynamical model for a small closed economy with a simple structure and with a minimum number of non-linearities. A basis of this model is developed from dynamical Kaldorian model. Variables in the modified dynamical Kaldorian model are in a logarithm scale. A form of the logistic function is used for non-linear connections in this model. The model is formed by four differential equations. First…
Stock market crashes modeling
We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. On the data of U.S. stock markets we demonstrate that the crash of 1987 may be better explained by cusp catastrophe theory, which is not true for the crash of 2001. With the help of sentiment measures, such as index put/call options ratio and volume (the former models the proportion of the chartists, while the latter the fundamentalists), …
Product, capital stock and price dynamics in a simple model of closed economy
A purpose of this paper is to formulate a continuous dynamical model for a small closed economy with a simple structure and with a minimum number of non-linearities. A basis of this model is developed from dynamical Kaldorian model. Variables in the modified dynamical Kaldorian model are in a logarithm scale. A form of the logistic function is used for non-linear connections in this model. The model is formed by four differential equations. First…
Stock market crashes modeling
We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. On the data of U.S. stock markets we demonstrate that the crash of 1987 may be better explained by cusp catastrophe theory, which is not true for the crash of 2001. With the help of sentiment measures, such as index put/call options ratio and volume (the former models the proportion of the chartists, while the latter the fundamentalists), …
Capital Markets Efficiency
In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found ? the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; an…
Významný příspěvek k problematice modelů DSGE
Mnov analytick modely, kter se pouvaj pro rozhodovn centrlnch bank v rmci mnov politiky v poslednch desetiletch, pat do tdy model dynamick stochastick celkov rovnovhy (DSGE). Tato situace m bezpochyby zptn vliv na vdeckou oblast, kdy se ve vdeckch asopisech v souasnosti objevuj tm vhradn lnky, kter jako nstroj analzy vyuvaj model DSGE
Economics (4 works) · Complex Systems and Time Series Analysis (3 works) · Econometrics (3 works) · Mathematics (3 works) · Stock (firearms) (3 works) · Financial economics (2 works) · Geology (2 works) · Geology (2 works) · Market Dynamics and Volatility (2 works) · Mathematical analysis (2 works)