 | FindEcon monograph series: Advances in financial market analysis. Financial markets: principles of modelling, forecasting and decision-making. N 7 / ed. by W.Milo, G.Szafrański, P.Wdowiński. - Łódź: Łódź University Press, 2009. - 201 p. - Incl. bibl. ref. - ISBN 978-83-7525-302-3
|
Introduction
(Włactysław Milo, Grzegorz Szafrański and Piotr Wdowiński) ...... 7
Part One: Statistical and Econometric Methods in Finance
1 Stock Price and Volume Relation at the Warsaw Stock
Exchange (Paweł Milobędzki) ................................. 11
1.1 Introduction ........................................... 11
1.2 Methodology of the Stock Price-Volume Relation
Analysis ............................................... 13
1.3 Testing for the Nature of the Stock Price-Volume
Relation at the WSE .................................... 15
1.4 Conclusion ............................................. 17
Appendix .................................................... 17
Reference ................................................... 20
2 Testing for Second-Order LSTR Cointegration - Some
Simulation and Empirical Results (Joanna Bruzda) ............ 23
2.1 Introduction ........................................... 23
2.2 Testing for 2LSTR Cointegration ........................ 24
2.3 Simulation Analysis .................................... 32
2.4 Empirical Example ...................................... 35
2.5 Conclusions ............................................ 37
References .................................................. 38
3 The Impact of Conditional Skewness Assumption on the
Relation between Risk and Return. Bayesian Analysis for
WIG Data (Mateusz Pipień) ................................... 41
3.1 Introduction ........................................... 41
3.2 Creating Asymmetric Distributions ...................... 43
3.3 Basic Model Framework and Competing Skewed
Conditional Distributions .............................. 47
3.4 Empirical Results for WIG Data ......................... 52
3.5 Concluding Remarks ..................................... 56
References .................................................. 57
4 Financial Applications of Random Matrix Theory -
Covariance Matrix Filtering Techniques (Małgorzata
Snarska) .................................................... 59
4.1 Portfolio Problem in Finance. Markowitz Solution vs.
Noise .................................................. 59
4.2 Random Matrix Theory and Finance ....................... 59
4.2.1.Spectral Densities of Estimators for Symmetric
Squared Matrices ................................. 60
4.2.2. Spectral Densities of Estimators for Non-
Symmetric (Rectangular) Matrices ................ 61
4.3 Empirical Correlation Matrices ......................... 62
4.3.1 Equal-Time Correlation Matrices ................. 63
4.3.2 EWMA Correlation Matrix ......................... 65
4.3.3 Non-Equal Time Correlation Matrices and Cross
Correlations .................................... 66
4.3.4 Filtering Techniques - A Comparison ............. 68
4.4 Summary - Open Questions and Problems under
Investigation .......................................... 69
References .................................................. 69
5 Forecasting Wholesale Electricity Prices: A Review of Time
Series Models (Rafał Weron) ................................. 71
5.1 Introduction ........................................... 71
5.2 The Data and Base Model ................................ 72
5.3 Model Extensions ....................................... 75
5.4 Empirical Results ...................................... 77
5.5 Conclusions ............................................ 81
References .................................................. 81
Part Two: Modelling Stock Returns
6 Dynamics of Conditional Bivariate Distribution's Shape
Parameters: The Case of Central Europe Stock Market
Returns (Ryszard Doman) ..................................... 85
6.1 Introduction ........................................... 85
6.2 Co-Skewness and Co-Kurtosis of Market Returns .......... 86
6.3 Multivariative Model for Shape Parameters' Dynamics .... 87
6.4 Conditional Co-Skewness and Co-Kurtosis ................ 89
6.5 The Data ............................................... 91
6.6 Empirical Results ...................................... 92
6.7 Conclusions ............................................ 99
References .................................................. 99
7 Using Realized Volatility in Estimating Diffusion Models
(Piotr Płuciennik) ......................................... 101
7.1 Introduction .......................................... 101
7.2 Methods of Estimating Diffusion Processes ............. 102
7.2.1 Realized Volatility ............................ 102
7.2.2 Basic Methods of Estimating Parameters of
a Diffusion Process ............................ 103
7.2.3 A Two-Stage Method of Estimating Diffusion
Processes ...................................... 105
7.3 Data .................................................. 107
7.4 Empirical Results ..................................... 108
7.5 Monte Carlo Simulation ................................ 109
7.6 Conclusions ........................................... 110
References ................................................. 110
Part Three: Derivative Instruments
8 Foreign Currency Futures and Spot Market Dynamics:
Specificity and Linkages (Małgorzata Doman) ................ 113
8.1 Introduction .......................................... 113
8.2 The Data .............................................. 114
8.3 GARCH Models .......................................... 115
8.4 DCC Model ............................................. 116
8.5 Empirical Results ..................................... 117
8.6 Conclusions ........................................... 125
References ................................................. 125
9 Bayesian Analysis of Options on WIG20 Index under
Stochastic Volatility and Stochastic Interest Rates
(Anna Pajor) ............................................... 127
9.1 Introduction .......................................... 127
9.2 Bayesian Bivariate SV Model ........................... 128
9.3 Application to Bayesian Option Pricing ................ 130
9.4 Empirical Results ..................................... 131
9.4.1 Posterior Results for the Conditional
Correlation Coefficients ....................... 133
9.4.2 Posterior Results for Individual
Volatilities ................................... 134
9.4.3 Bayesian Forecasting of the Discounted Payoff
of European Call Options on WIG20 Index ........ 135
9.5 Conclusions ........................................... 141
References ................................................. 141
Part Four: Portfolio Selection
10 Immunization Conditions and Immunization Risk for
a Fixed-Income Portfolio (Joanna Klimkowska) ............... 145
10.1 Immunization Conditions-A Brief Introduction .......... 145
10.2 Lower Bound on the End Value of the Portfolio ......... 147
10.3 Optimal Portfolio Selection ........................... 150
Appendix ................................................... 153
References ................................................. 155
11 Forecasting Portfolio Return Based on Bayesian Network
Model (Joanna Olbryś) ...................................... 157
11.1 Introduction .......................................... 157
11.2 Bayesian Networks ..................................... 158
11.3 A Bayesian Network Model of Multi-Factor Portfolio
Return ................................................ 160
11.4 Entering Evidence ..................................... 167
11.5 Conclusions ........................................... 170
References ................................................. 170
12 The Application of the Theory of Games for Purpose of
Making a Choice of Portfolio (Anna Sroczyńska-Baron) ....... 173
12.1 Introduction .......................................... 173
12.2 Optimal Strategy for the Market Player - Some
Remarks ............................................... 174
12.3 The Game-Portfolio .................................... 176
12.4 The Analysis of the Game - Portfolio as
a Cooperative Game .................................... 178
12.5 The Choice of Portfolio with the Measures: The
Expected Return and the Standard Deviation ............ 181
12.6 Conclusions ........................................... 182
References ................................................. 182
13 Malliavin Calculus Approach to the Optimal Portfolio
Choice in the Model with Vasicek (1977) Interest Rate
(Anna Gutkowska) ........................................... 185
13.1 Introduction .......................................... 185
13.2 Optimal Portfolio Choice Problem ...................... 186
13.3 Optimal Portfolio Value at Terminal Date by
Martingale Method ..................................... 188
13.4 Optimal Portfolio Components by Malliavin Calculus
Approach .............................................. 190
13.5 Approximating Optimal Portfolio Components by Monte
Carlo Simulation ...................................... 192
13.6 Financial Market Model ................................ 193
13.7 Portfolio Components Optimal for CRRA Utility ......... 194
13.8 Optimal Portfolio for HARA Utility .................... 196
13.9 Numerical Example ..................................... 198
13.10 Monte Carlo Simulation ............................... 199
13.11 Conclusions .......................................... 200
References ................................................. 201
|
|
