Jan Novotny

City University London - Faculty of Finance

London, EC2Y 8HB

Great Britain

Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)

P.O. Box 882

7 Politickych veznu

Prague 1, 111 21

Czech Republic

http://www.cerge-ei.cz

SCHOLARLY PAPERS

7

DOWNLOADS

241

CITATIONS

0

Scholarly Papers (7)

1.

The Identification of Price Jumps

CERGE-EI Working Paper Series No. 434
Number of pages: 53 Posted: 15 Mar 2011
Jan Hanousek, Evzen Kocenda and Jan Novotny
CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), Charles University in Prague - Institute of Economic Studies and City University London - Faculty of Finance
Downloads 48 (309,785)

Abstract:

Price Jumps, Price-Jump Indicators, Non-Parametric Testing, Monte Carlo Simulations, Financial Econometrics

2.

Were Stocks During the Financial Crisis More Jumpy: A Comparative Study

CERGE-EI Working Paper Series No. 416
Number of pages: 62 Posted: 16 Oct 2010
Jan Novotny
City University London - Faculty of Finance
Downloads 45 (315,409)

Abstract:

financial markets, price jumps, extreme price movements, financial crisis

3.

Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis

CERGE-EI Working Paper Series No. 412
Number of pages: 33 Posted: 29 Aug 2010
Jan Novotny
City University London - Faculty of Finance
Downloads 31 (366,926)

Abstract:

financial markets, Visegrad region, price jumps

4.

Price Jump Indicators: Stock Market Empirics During the Crisis

William Davidson Institute Working Paper No. 1050
Number of pages: 35 Posted: 01 Aug 2013
Jan Novotny, Jan Hanousek and Evzen Kocenda
City University London - Faculty of Finance, CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) and Charles University in Prague - Institute of Economic Studies
Downloads 26 (349,104)

Abstract:

stock markets, price jump indicators, non-parametric testing, clustering analysis, financial econometrics, Basel Accords

5.

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Number of pages: 62 Posted: 16 Aug 2014
Simona Boffelli, Jan Novotny and Giovanni Urga
University of Bergamo, City University London - Faculty of Finance and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 21 (378,413)

Abstract:

Arrivals, Jumps, Co-arrivals, Co-jumps, European government yields, Bond auctions, Macro-announcements, Macrofactors.

6.

Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes

CERGE-EI Working Paper Series No. 511
Number of pages: 44 Posted: 30 Mar 2014
Hynek Lavicka, Tomas Lichard and Jan Novotny
Czech Technical University, Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) and City University London - Faculty of Finance
Downloads 13 (425,530)

Abstract:

price jumps, financial transaction taxes, agent-based modeling, Monte Carlo, volatility

7.

Price Jumps on European Stock Markets

William Davidson Institute Working Paper No. 1059
Number of pages: 32 Posted: 22 Dec 2013
Jan Hanousek, Evzen Kocenda and Jan Novotny
CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), Charles University in Prague - Institute of Economic Studies and City University London - Faculty of Finance
Downloads 12 (425,530)

Abstract:

European stock markets, price jump indicators, non-parametric testing, clustering analysis, financial econometrics, emerging markets.