Study of a BVAR(p) process applied to U.S. commodity market data

0331233 - ÚTIA 2010 RIV IT eng C - Conference Paper (international conference)
Šindelář, Jan
Study of a BVAR(p) process applied to U.S. commodity market data.
[Studium BVAR(p) procesu aplikovaného na data z komoditních trhů v USA.]
Proceedings of World Academy of Science, Engineering and Technology, WCSET 2009. Volume 58. Venice: Academic Science Research, 2009 - (Ardil, C.), s. 424-435. ISSN 2070-3724.
[International Conference on Operational Research and Financial Engineering 2009. Benátky (IT), 28.10.2009-30.10.2009]
R&D Projects: GA MŠMT 2C06001
Institutional research plan: CEZ:AV0Z10750506
Keywords : Vector Auto-regression * Forecasting * Financial * Bayesian * Efficient Markets
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2009/SI/sindelar-study of a bvar(p) process applied to u.s. commodity market data.pdf

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.

Článek přináší aplikovanou studii multivariantního AR(p) procesu vhodnou pro denně získávaná data z termínovaných obchodu s komoditami v USA při využití Bayesiovské statistiky. V první části článku je popsana detailně metoda použití, ve druhé části jsou pak dva příklady pro BVAR procesy.
Permanent Link: http://hdl.handle.net/11104/0176805