Study of a BVAR(p) process applied to U.S. commodity market data
1.
SYSNO ASEP
0331233
Druh ASEP
C - Konferenční příspěvek (mezinárodní konf.)
Zařazení RIV
D - Článek ve sborníku
Název
Study of a BVAR(p) process applied to U.S. commodity market data
Překlad názvu
Studium BVAR(p) procesu aplikovaného na data z komoditních trhů v USA
Tvůrce(i)
Šindelář, Jan (UTIA-B)
Zdroj.dok.
Proceedings of World Academy of Science, Engineering and Technology, WCSET 2009, Volume 58 - Part III.. - Venice : Academic Science Research, 2009 / Ardil Cemal
- ISSN 2070-3724
Rozsah stran
s. 424-435
Poč.str.
12 s.
Forma vydání
www - www
Akce
International Conference on Operational Research and Financial Engineering 2009
2C06001 GA MŠMT - Ministerstvo školství, mládeže a tělovýchovy
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Anotace
The paper presents an applied study of a multivariate AR(p) process fitted to daily data from U.S. commodity futures markets with the use of Bayesian statistics. In the first part a detailed description of the methods used is given. In the second part two BVAR models are chosen one with assumption of log-normal, the second with normal distribution of prices conditioned on the parameters. For a comparison two simple benchmark models are chosen that are commonly used in todays Financial Mathematics. The article compares the quality of predictions of all the models, tries to find an adequate rate of forgetting of information and questions the validity of Efficient Market Hypothesis in the semi-strong form.
