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Author
Pajor Anna (Uniwersytet Ekonomiczny w Krakowie / Wydział Finansów i Prawa)
Title
Wielowymiarowe procesy wariancji stochastycznej w ekonometrii finansowej : ujęcie bayesowskie
Multivariate Stochastic Variance Processes in Financial Econometrics : the Bayesian Approach
Source
Zeszyty Naukowe / Uniwersytet Ekonomiczny w Krakowie. Seria Specjalna, Monografie, 2010, nr 195, 347 s., rys., tab., bibliogr. s. 310-323
Keyword
Ekonometria, Ekonometria bayesowska, Modele stochastyczne, Analiza portfelowa, Opcje europejskie, Wycena opcji, Rozprawa habilitacyjna
Econometrics, Bayesian econometric, Stochastic models, Portfolio analysis, European options, Options pricing, Habilitation thesis
Note
summ.
Abstract
Głównym celem pracy jest omówienie i opracowanie łącznego modelowania zmienności finansowych szeregów czasowych za pomocą wielowymiarowych procesów wariancji (zmienności) stochastycznej (ang. Multivariate Stochastic Volatility processes, MSV). W ramach rozważanych modeli bayesowskich opracowano metody numeryczne stosowane w bayesowskich schemacie wnioskowania statystycznego. Przedstawiono i rozwiązano problem słabej i silnej egzogeniczności w modelu ze zmiennymi nieobserwowalnymi. Zaprezentowano wektorowe modele korekty błędu (VEC) z zakłóceniami losowymi tworzącymi wielowymiarowy proces SV i omówiono zagadnienia testowania egzogeniczności w modelach VEC-MSV. Podęto próbę opisu niepewności związanej z wyceną opcji europejskich ze stochastyczną stopą procentową. Zaproponowano sposób budowy portfela inwestycyjnego o minimalnym ryzyku oraz portfela o minimalnym ryzyku, ale przy zadanym przez inwestora poziomie zwrotu. (fragment tekstu)

The main objective of the book is to study the joint modeling of financial time series using multivariate stochastic volatility (MSV) models. We apply Bayesian methods for estimation, model selection and prediction. In chapter 1 the basics of Bayesian statistics and financial econometrics are presented. Chapter 2 focuses on multivariate models for financial time series, starting with a review of multivariate GARCH (MGARCH) models. Chapter 3 presents the empirical results of a Bayesian model comparison carried out for competing MSV specifications. The issue of exogeneity is of crucial importance for econometric modeling, and is the focus of chapter 4, where we present econometric uses of this Bayesian concept as well as new results on exogeneity in VEC-SV models. Chapter 5 proposes methods for optimal asset allocation under stochastic volatility. Chapter 6 focuses on the option pricing problem with stochastic volatility and a stochastic interest rate.(AT)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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