Forecasting Financial Markets. Theory and Applications, vol 1

Edited by Władysław Milo () and Piotr Wdowiński ()

in FindEcon Books: Forecasting Financial Markets and Economic Decision-Making from University of Lodz, currently edited by Piotr Wdowiński

Abstract: Economists and policy makers are inherently interested in the process of modeling and forecasting financial markets and economic decision-making. These issues are of great interest in both academic journals and in the popular press magazines. The process of financial globalization and integration of financial markets affects the economic growth in the world. In this book we offer a research forum for economists and professionals to examine the theoretical and empirical issues on the general and specific financial and macroeconomic topics. The topics cover the area of forecasting financial markets and economic decision-making. The research in this volume gives a diversity of topics. It extends the framework of micro- and macroeconomic problems of financial markets functioning, evolution and prospects of growth in short- and long-term horizons. The topics include very important issues of capital mobility and its influence on the structure of capital markets, the contribution of financial markets performance to economic growth, the behavior and the potential of emerging financial markets, interactions between the developed and emerging markets, and the risk-return trade-off. This volume is divided into four parts. Part One outlines modeling and forecasting volatility in financial markets. Part Two provides fundamental portfolio selection and optimization procedures. Part Three is the focus on emerging markets performance. Finally, Part Four consists of an application of econometric and statistical methods in modeling and forecasting financial markets. This volume was preceded by the annual international conference Forecasting Financial Markets and Economic Decision—making (FindEcon 2004) organized by the Department of Econometrics at the University of Łódź, Poland. The quality of the conference and papers was assured by the conference discussants and referees. We would like to thank them for their support. We are grateful to all contributors to this book for making it a selection of insightful studies on financial markets.

Keywords: Volatility in financial markets; Portfolio selection; Forecasting and modelling financial markets; Stock market modelling; Econometrics (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
Edition: 1
ISBN: 83-7171-883-7
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https://www.repec.uni.lodz.pl/RePEc/files/findec/2005/2005_No_0_Ch_0.pdf (application/pdf)

Chapters in this book:

Ch 1 Forecasting the Polish Stock Market Volatility with Markov Switching GARCH Models , pp 13-27

Ryszard Doman

Ch 2 Forecasting the Volatility of the Polish Stock Index - WIG20 , pp 29-42

Piotr Fiszeder

Ch 3 The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets , pp 43-55

Piotr Mielus

Ch 4 The Determinants of Stock Return Volatility on the Ukrainian Emerging Financial Market: a GARCH Approach , pp 57-70

Jerzy Stelmach

Ch 5 How Well Do Models of Stock Market Volatility Forecast at Longer Horizons? , pp 71-84

Burkhard Raunig

Ch 6 An Attempt to Assess the Effectiveness of the Fundamental Securities Portfolio Constructed on the Basis of Forecasts , pp 87-96

Waldemar Tarczyński and Małgorzata Łuniewska

Ch 7 How to Immunize a Defaultable Bond Portfolio? , pp 97-106

Alina Kondratiuk-Janyska and Marek Kałuszka

Ch 8 The Portfolio of Risky Investments Based on the AHP , pp 107-116

Wojciech Zatoń

Ch 9 The Slovenian Stock Market Index (SBI20 Slovenski Borzni Index) from the Aspect of Frequency Domain , pp 119-133

Aleša Lotrič Dolinar

Ch 10 Modeling and Forecasting the Volatility of Thin Emerging Stock Markets: The Case of Bulgaria , pp 135-146

Plamen Patev and Nigokhos Kanaryan

Ch 11 Maximum Likelihood Estimation of Stochastic Unit Root Models with GARCH Disturbances , pp 149-157

Jacek Kwiatkowski

Ch 12 An Application of Neural Networks to Find Risky Credit Positions and Forecasting Consumer Loans Default Situation , pp 159-176

Przemysław Garsztka and Maciej Kokorniak

Ch 13 The Generalization of Net Present Value Calculations , pp 177-190

Jacek Białek

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