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

333

SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (7)

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
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK, City University London - Faculty of Finance and Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and University of Bergamo, Italy
Downloads 43 (493,309)
Citation 1

Abstract:

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

2.

The Identification of Price Jumps

CERGE-EI Working Paper Series No. 434
Number of pages: 53 Posted: 15 Mar 2011
Jan Hanousek, Evžen Kočenda 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 68 (392,396)
Citation 4

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

3.

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 Evžen Kočenda
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 67 (395,534)
Citation 3

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

4.

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 58 (425,318)
Citation 1

Abstract:

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

5.

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 39 (501,512)

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financial markets, Visegrad region, price jumps

6.

Price Jumps on European Stock Markets

William Davidson Institute Working Paper No. 1059
Number of pages: 32 Posted: 22 Dec 2013
Jan Hanousek, Evžen Kočenda 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 31 (541,207)

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

7.

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 27 (563,840)
Citation 2

Abstract:

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