1 citations · 1 across the 5 of their papers we have counts for
5 papers
Modeling Trade Durations under Temporal Granularity Effects in Forex Markets
Vladimír Holý
Trade durations in high-frequency foreign exchange data exhibit increased occurrence near integer values. To address this empirical phenomenon, we propose the granularity-adjusted…
Analyzing and Forecasting Success in the Men's Ice Hockey World (Junior) Championships Using a Dynamic Ranking Model
Vladimír Holý
What factors contribute to the success of national teams in the Men's Ice Hockey World Championships and the Men's Ice Hockey World Junior Championships? This study examines whethe…
gasmodel: An R Package for Generalized Autoregressive Score Models
Vladimír Holý
Generalized autoregressive score (GAS) models are a class of observation-driven time series models that employ the score to dynamically update time-varying parameters of the underl…
Ranking-Based Second Stage in Data Envelopment Analysis: An Application to Research Efficiency in Higher Education
Vladimír Holý
An alternative approach for the panel second stage of data envelopment analysis (DEA) is presented in this paper. Instead of efficiency scores, we propose to model rankings in the…
An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations
Vladimír Holý
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market…