FindEcon Monograph Series: Advances in Financial Market Analysis, vol 2

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: Forecasting financial markets and economic decision-making has Been always in the center of interests of policy-makers and economists. These important issues of theoretical and empirical research on financial modeling are a content of scientific journals and popular articles in press. Globalization and integration of financial institutions and markets drives the economic growth in the world. On-line transactions, capital flows and portfolio investments influence capital markets, exchange rates and interest rates. The stability of the financial system is an important condition for stable economic growth. Financial modeling and forecasting has become an area of advanced econometric applications. Financial time series are easily obtained with an extensive time span of data. Apart from empirical research it also drives theoretical issues by stimulating development of new econometric methods and testing procedures. The state of art in econometrics and statistics should be also attributed to financial modeling, testing and forecasting. We offer in this monograph a research forum for economists and financial analysts to discuss the theoretical issues and empirical applications on financial topics. The topics in the book cover the area of modeling, forecasting and decision-making in financial markets. The research in this monograph offers a diversity of topics both theoretical and empirical. The topics include issues of Bayesian econometrics in finance, modeling stock prices and volatility of financial returns, and risk and pricing of derivatives. This monograph is divided into four parts. Part One outlines Bayesian modeling in finance. Part Two provides issues on volatility in financial markets. Part Three is focused on derivative instruments. Finally, Part Four presents modeling stock prices. This book was preceded by the international conference Forecasting Financial Markets and Economic Decision-Making (FindEcon 2005) organized by the Department of Econometrics at the University of Łódź, Poland. The scientific quality of the papers was assured by the conference Programme Committee and independent referees. We appreciate their efforts and would like to thank them for their support. We are grateful to all contributors to this monograph. This is a selection of insightful studies on modeling and forecasting financial time series.

Keywords: Bayesian econometrics; Volatility in financial markets; Derivative instruments; Modeling stock prices (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
Edition: 1
ISBN: 978-83-7525-073-2
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https://www.repec.uni.lodz.pl/RePEc/files/findec/2006/2006_No_2_Ch_0.pdf (application/pdf)
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Chapters in this book:

Ch 1 Bayes Factors for Bivariate GARCH and SV Models , pp 15-35

Jacek Osiewalski, Anna Pajor and Mateusz Pipień

Ch 2 A Bayesian Analysis of Stur Models , pp 37-48

Jacek Kwiatkowski

Ch 3 VECM-TSV Models for Two Polish Official Exchange Rates , pp 49-66

Anna Pajor

Ch 4 Application of Bayesian Inference in Value-at-Risk Forecasting with the Use of Conditionally Asymmetric and Fat-Tailed GARCH Models , pp 67-80

Mateusz Pipień

Ch 5 Bayesian Inference on Discretely Sampled Itô Processes , pp 81-96

Maciej Kostrzewski

Ch 6 Online Testing of Switching Volatility , pp 99-120

David Bock

Ch 7 Modeling the Realized Volatility with ARFIMA and Unobserved Component Models: Results from the Polish Financial Market , pp 121-135

Małgorzata Doman

Ch 8 Forecasting the Conditional Skewness and Kurtosis of the Polish Financial Returns , pp 137-151

Ryszard Doman

Ch 9 Optimal Futures Hedging Decisions in Fractionally Cointegrated Markets , pp 155-168

Piotr Humeńczuk

Ch 10 Quasi-Monte Carlo Method in Pricing Barrier Options , pp 169-181

Tomasz Oczadły

Ch 11 The Cost-of-Carry Model for the FW20 Futures Contracts: Threshold Cointegration Framework , pp 183-205

Joanna Bruzda

Ch 12 Modeling and Predicting Japanese Stock Returns Based on the ARFIMA-FIGARCH , pp 209-220

Jun Nagayasu

Ch 13 Asymmetry in the Adjustment of Main Capital Market Indices in Poland , pp 221-239

Paweł Miłobędzki

Ch 14 Test of the CAPM Model with Time-Varying Covariances for the Polish Stock Market , pp 241-255

Piotr Fiszeder

Ch 15 Detecting Nonlinear Causality at Financial Markets , pp 257-274

Magdalena Osinska and Witold Orzeszko

Ch 16 Analysis of Influence of Russian Stock Market Onto Ukrainian Stock Market , pp 275-283

Kostyantyn Stryzhychenko

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