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Forecasting Financial Processes by Using Diffusion Models 利用扩散模型预测财务过程
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.005
P. Płuciennik
{"title":"Forecasting Financial Processes by Using Diffusion Models","authors":"P. Płuciennik","doi":"10.12775/DEM.2010.005","DOIUrl":"https://doi.org/10.12775/DEM.2010.005","url":null,"abstract":"Time series forecasting is one of the most important issues in the financial econometrics. In the face of growing interest in models with continuous time, as well as rapid development of methods of their estimation, we try to use the diffusion models to modeling and forecasting time series from various financial markets. We use Monte-Carlo-based method, introduced by Cziraky and Kucherenko (2008). Received forecasts are confronted with those determined with the commonly applied parametrical time series models.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"51-60"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures 符号RCA模型:VaR指标预测准确性的比较
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.006
Joanna Górka
{"title":"The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures","authors":"Joanna Górka","doi":"10.12775/DEM.2010.006","DOIUrl":"https://doi.org/10.12775/DEM.2010.006","url":null,"abstract":"Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method of estimating and backtesting is crucial for both the regulators and the risk managers’. The Sign RCA models may be useful to obtain the accurate forecasts of VaR. In this research one briefly describes the Sign RCA models, the Value at Risk and backtesting. We compare the predictive accuracy of alternative VaR forecasts obtained from different models. Empirical example is mainly related to the PBG Capital Group shares on the Warsaw Stock Exchange.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"61-80"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error 基于累积预测误差的模型选择及模型选择策略
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.009
M. Piłatowska
{"title":"Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error","authors":"M. Piłatowska","doi":"10.12775/DEM.2010.009","DOIUrl":"https://doi.org/10.12775/DEM.2010.009","url":null,"abstract":"The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). The APE method is compared with the information approach to model selection (AIC and BIC information criteria), supported by empirical examples. Obtained results indicated that the APE method may be of considerable practical importance.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"107-119"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66547095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Unobserved Component Model for Forecasting Polish Inflation 预测波兰通货膨胀的不可观察成分模型
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.010
J. Kwiatkowski
{"title":"Unobserved Component Model for Forecasting Polish Inflation","authors":"J. Kwiatkowski","doi":"10.12775/DEM.2010.010","DOIUrl":"https://doi.org/10.12775/DEM.2010.010","url":null,"abstract":"This paper aims to use the local level models with GARCH and SV errors to predict Polish inflation. The series to be forecast, measured monthly, is consumer price index (CPI) in Poland during 1992-2008. We selected three forecasting models i.e. LL-GARCH(1,1) with Normal or Student errors and LL-SV. A simple AR(2)-SV model is used as a benchmark to assess the accuracy of prediction. The presented results indicate, that there is no clear advantage of LL models in forecasting Polish inflation over standard AR(2)-SV model, although all the models give satisfactory results.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"121-129"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66547346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis 危机条件下美国汽车股票公司多元收益序列动态
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.004
Blanka Łęt
{"title":"Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis","authors":"Blanka Łęt","doi":"10.12775/DEM.2010.004","DOIUrl":"https://doi.org/10.12775/DEM.2010.004","url":null,"abstract":"This article contains an analysis of dynamic interrelations between log-returns series of three automotive companies listed on the New York Stock Exchange: GM, F and DAI. We consider two periods: before and during crisis. We apply DiagBEKK model and we calculate dynamic conditional correlations. As a result of our research we found that in conditions of crisis there were strong connections between considered stock companies.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"43-50"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546887","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient 利用互信息系数测量非线性序列相关性
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.008
W. Orzeszko
{"title":"Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient","authors":"W. Orzeszko","doi":"10.12775/DEM.2010.008","DOIUrl":"https://doi.org/10.12775/DEM.2010.008","url":null,"abstract":"Construction, estimation and application of the mutual information measure have been presented in this paper. The simulations have been carried out to verify its usefulness to detect nonlinear serial dependencies. Moreover, the mutual information measure has been applied to the indices and the sector sub-indices of the Warsaw Stock Exchange.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"97-106"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66547440","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean 波兰银行同业拆借利率的期限结构。关于它们回归均值对称性的注记
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.007
Paweł Miłobędzki
{"title":"The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean","authors":"Paweł Miłobędzki","doi":"10.12775/DEM.2010.007","DOIUrl":"https://doi.org/10.12775/DEM.2010.007","url":null,"abstract":"The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothesis. They have exhibited common stochastic trends, their spreads have had cointegrating properties as well as much predictive power. Of all interest rates considered it is only a 3 month rate that has asymmetrically been reverting to the mean.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"83-95"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66547265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule 在泰勒规则背景下计算潜在国内生产总值的重要性
Dynamic Econometric Models Pub Date : 2010-07-17 DOI: 10.12775/DEM.2010.011
Anna Michałek
{"title":"The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule","authors":"Anna Michałek","doi":"10.12775/DEM.2010.011","DOIUrl":"https://doi.org/10.12775/DEM.2010.011","url":null,"abstract":"Taylor stated humorously that his rule was so easy that it could be written down on the back of a business card. The reality shows that the practical use of this type of rule implies accepting many assumptions about its final shape. The article mentions only the matter of influence of calculating the potential GDP and output gap on the empirical relevance of the Taylor rule. Two ways of calculating potential GDP were presented, i.e. the HP filter and linear trend of the current and the real GDP both seasonally adjusted (an additive model with seasonal dummies; TRAMO/SEATS procedure).","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"132-143"},"PeriodicalIF":0.0,"publicationDate":"2010-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66547717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Liquidity and Market Microstructure Noise: Evidence from the Pekao Data 流动性与市场微观结构噪声:来自佩考数据的证据
Dynamic Econometric Models Pub Date : 2010-07-16 DOI: 10.12775/DEM.2010.001
Małgorzata Doman
{"title":"Liquidity and Market Microstructure Noise: Evidence from the Pekao Data","authors":"Małgorzata Doman","doi":"10.12775/DEM.2010.001","DOIUrl":"https://doi.org/10.12775/DEM.2010.001","url":null,"abstract":"The availability of ultra-high frequency data justifies the use of a continuous-time approach in stock prices modeling. However, this data contain, apart from the information about the price process, a microstructure noise causing a bias in the realized volatility. This noise is connected with all the reality of trade. In the paper we separate the microstructure noise from the price process and determine the noise to signal ratio for the estimates of the realized volatility in the case of the shares of the Polish company Pekao S.A. The results are used to discover the optimal sampling frequency for the realized volatility calculation. Moreover, we check the linkages between the noise and some liquidity measures.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"5-14"},"PeriodicalIF":0.0,"publicationDate":"2010-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction 基于对耦合构造的WIG20投资组合依赖结构建模
Dynamic Econometric Models Pub Date : 2010-07-16 DOI: 10.12775/DEM.2010.003
R. Doman
{"title":"Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction","authors":"R. Doman","doi":"10.12775/DEM.2010.003","DOIUrl":"https://doi.org/10.12775/DEM.2010.003","url":null,"abstract":"Elliptical distributions commonly applied to modeling the returns of stocks in highdimensional  portfolio are not capable of adequate describing the dependence between the components  when their statistical properties are very diverse. The MGARCH and standard dynamic  copula models are often of little usefulness in such cases. In this paper, we apply a methodology  called the pair-copula decomposition to model the joint conditional distribution of the returns on  stocks constituting the WIG20 index, and show some advantage of this construction over the  approach using the t Student DCC model.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"10 1","pages":"31-42"},"PeriodicalIF":0.0,"publicationDate":"2010-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546768","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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