Forecasting financial market: Theory and applications (Lodz, 2005). - ОГЛАВЛЕНИЕ / CONTENTS
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ОбложкаForecasting financial market: Theory and applications / ed. by W.Milo, P.Wdowiński. - Łódź: Wydawnictwo Uniwersytetu Łódzkiego, 2005. - 190 p.: Incl. bibl. ref. - ISBN 83-7171-883-7
 

Оглавление / Contents
 
Introduction (Władysław Milo, Piotr Wdowińskt) .................. 7

         Part One. Volatility in Financial Markets: Modeling
                          and Forecasting

1  Forecasting the Polish Stock Market Volatility with Markov
   Switching GARCH Models (Ryszard Doman) ...................... 13
   1.1  Introduction ........................................... 13
   1.2  Markov Switching Models ................................ 14
   1.3  Model Specification .................................... 15
   1.4  Model Estimation ....................................... 16
   1.5  Forecasts .............................................. 18
   1.6  The Data ............................................... 18
   1.7  Estimation  Results .................................... 19
   1.8  Forecast Evaluation .................................... 23
   1.9  Conclusions ............................................ 26
2  Forecasting the Volatility of the Polish Stock Index -
   WIG20 (Piotr Fiszeder) ...................................... 29
   2.1  Introduction ........................................... 29
   2.2  Competing Models ....................................... 30
   2.3  Evaluation Measures .................................... 32
   2.4  Data and Forecast Results .............................. 33
   2.5  Conclusions ............................................ 41
3  The Application of Error Correction Model in Forecasting
   Market Volatility on Emerging Currency Options Markets
   (Piotr Mielus) .............................................. 43
   3.1  Introduction ........................................... 43
   3.2  Currency Basket Estimation ............................. 44
   3.3  The Error Correction Model ............................. 45
   3.4  Results for Market Volatility .......................... 46
   3.5  Forecast Results Estimation ............................ 49
   3.6  Conclusions ............................................ 50
   3.7  Appendix ............................................... 52
4  The Determinants of Stock Return Volatility on the
   Ukrainian Emerging Financial Market: a GARCH Approach
   (Jerzy Stelmach) ............................................ 57
   4.1  Introduction ........................................... 57
   4.2  Determinants of Stock Market Return Volatility ......... 58
   4.3  Data, Methodology and Specification .................... 62
   4.4  Empirical Results ...................................... 64
   4.5  Conclusions ............................................ 69
5  How Well Do Models of Stock Market Volatility Forecast at
   Longer Horizons? (Burkhard Raunig) .......................... 71
   5.1  Introduction ........................................... 71
   5.2  Data, Models and the Forecasting Experiment ............ 72
   5.3  Forecast Evaluation .................................... 74
        5.3.1  Measures of Ex-Post Volatility .................. 74
        5.3.2  Statistical Loss Functions ...................... 75
        5.3.3  Regression  Approach ............................ 75
        5.3.4  Value-at-Risk ................................... 76
   5.4  Empirical Results ...................................... 77
        5.4.1  Results from Statistical Loss Functions ......... 77
        5.4.2  Results from Regression Analysis ................ 78
        5.4.3  Value-at-Risk  Evaluation ....................... 80
   5.5  Conclusions ............................................ 83

           Part Two. Portfolio Selection and Optimization

6  An Attempt to Assess the Effectiveness of the Fundamental
   Securities Portfolio Constructed on the Basis of
   Forecasts (Waldemar Tarczyński, Małgorzata Łuniewska) ....... 87
   6.1  Introduction ........................................... 87
   6.2  Description of the Method .............................. 89
   6.3  An Empirical Example ................................... 90
7  How to Immunize a Defaultable Bond Portfolio? (Alina
   Kondratiuk-Janyska, Marek Kałuszka) ......................... 97
   7.1  Introduction ........................................... 97
   7.2  Preliminary   Notations ................................ 98
   7.3  Main Result ........................................... 100
   7.4  Appendix .............................................. 103
8  The Portfolio of Risky Investments Based on the AHP
   (Wojciech Zatoń) ........................................... 107
   8.1  Introduction .......................................... 107
   8.2  Methodology ........................................... 108
   8.3  Example ............................................... 109
        8.3.1  Company's Growth Forecast (GROWTH) ............. 110
        8.3.2  Management and the Structure of the
               Shareholders (MANAGEMENT) ...................... 111
        8.3.3  Signals from Technical Analysis (ТА) ........... 112
        8.3.4  Price/Book Value (P/BV) Ratio .................. 113
   8.4  Conclusions ........................................... 116

        Part Three. Stock Market Modeling in Emerging Markets

9  The Slovenian Stock Market Index (SBI20 - Slovenski
   Borzni Index) from the Aspect of Frequency Domain
   (Aleša Lotrič Dolinar) ..................................... 119
   9.1  Time  Series Analysis ................................. 119
   9.2  About SBI20 ........................................... 120
   9.3  ARCH Analysis of Return on SBI20 ...................... 123
   9.4  Spectral Analysis in General .......................... 124
   9.5  Spectral Analysis of Return on SBI20 .................. 128
   9.6  Another Application of the Spectral Method ............ 130
   9.7  Comparison of the Two Methods and Concluding
        Remarks ............................................... 132
10 Modeling and Forecasting the VolatiUty of Thin Emerging
   Stock Markets: The Case of Bulgaria (Plamen Patev,
   Nigokhos Kanaryan) ......................................... 135
   10.1 Introduction .......................................... 135
   10.2 Literature Review ..................................... 136
   10.3 Methodology ........................................... 137
   10.4 Empirical Results ..................................... 140
   10.5 Conclusions ........................................... 143

         Part Four. Econometric and Statistical Theory and 
                 Applications in Financial Markets

11 Maximum Likelihood Estimation of Stochastic Unit Root
   Models with GARCH Disturbances (Jacek Kwiatkowski) ......... 149
   11.1 Introduction .......................................... 149
   11.2 Stochastic Unit Root Model ............................ 150
   11.3 Kalman Filter with GARCH Effects ...................... 152
   11.4 Applications to Zloty Exchange Rates .................. 154
   11.5 Conclusions ........................................... 157
12 An Application of Neural Networks to Find Risky Credit
   Positions and For ecasting Consumer Loans Default
   Situation (Przemysiaw Garsztka, Maciej Kokorniak) .......... 159
   12.1 Introduction .......................................... 159
   12.2 The Methods Overview .................................. 160
   12.3 Description of Variables Characterizing Revolving
        Credits ............................................... 162
   12.4 Experiment Conditions ................................. 164
   12.5 Experiment Results .................................... 167
   12.6 Conclusions ........................................... 174
13 The Generalization of Net Present Value Calculations
   (Jacek Białek) ............................................. 177
   13.1 Introduction .......................................... 177
   13.2 The  Model ............................................ 178
        13.2.1 The Black-Karasinsky Model  (1991) ............. 180
        13.2.2 The Cox-Ingersoll-Ross Model (1985) ............ 180
   13.3 The Generalized Definition of Net Present Value ....... 181
   13.4 The Criterion for Rejecting Investment Projects ....... 181
   13.5 An Average Net Present Value in a Special Case ........ 183
   13.6 Conclusions ........................................... 189


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