- Autor
- Doman Ryszard
- Tytuł
- Forecasting the Conditional Skewness and Kurtosis of the Polish Financial Returns
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 137-151, rys., tab., bibliogr. s. 151
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Prognozowanie stóp zysku akcji, Kurtoza, Model GARCH, Rynki finansowe
Forecasting the return rate of shares, Kurtosis, GARCH model, Financial markets - Abstrakt
- Chapter 8 presents evaluation of conditional density forecasts of financial returns, i.e. exchange rate EUR/PLN, stock index MIDWIG, and 6-month WIBOR. The forecasts are derived from GARCH models in which innovations are allowed to have time-varying or even failing to exist skewness and kurtosis. The main finding is that conditional skewness and kurtosis of returns change over time but their dynamics are different. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Bollerslev T. (1986), "Generalized Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 31, 307-327.
- Diebold F. X., Gunther T. A., Tay A. S. (1998), "Evaluating Density Forecasts with Application to Financial Risk Management", International Economic Review, 39, 863-883.
- Engle R. F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50, 987-1007.
- Fernández C., Steel M. F. J. (1998), "On Bayesian Modeling of Fat Tails and Skewness", Journal of the American Statistical Association, 93, 359-371.
- Gill P. E., Murray W., Saunders M. A. (1997), "SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization", SIAM Journal on Optimization, 12, 979-1006.
- Glosten R. T., Jagannathan R., Runkle D. (1993), "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Journal of Finance, 48, 1779-1801.
- Hansen B. E. (1994), "Autoregressive Conditional Density Estimation", International Economic Review, 35, 705-730.
- Jondeau E., Roekinger M. (2003), "Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements", Journal of Economic Dynamics and Control, 27, 1699-1737.
- Lambert P., Laurent S. (2001), "Modeling Financial Time Series Using GARCH-Type Models with a Skewed Student Distribution for the Innovations", Louvain: Instituí de Statistique, Université Catholique de Louvain, Discussion Paper, 01-25.
- Cytowane przez
- Język
- eng
