Study of a BVAR(p) process applied to U.S. commodity market data
1.
SYSNO ASEP
0331233
Document Type
C - Proceedings Paper (int. conf.)
R&D Document Type
Conference Paper
Title
Study of a BVAR(p) process applied to U.S. commodity market data
Title
Studium BVAR(p) procesu aplikovaného na data z komoditních trhů v USA
Author(s)
Šindelář, Jan (UTIA-B)
Source Title
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
Pages
s. 424-435
Number of pages
12 s.
Publication form
www - www
Action
International Conference on Operational Research and Financial Engineering 2009
2C06001 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Annotation
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.
