FindEcon Monograph Series: Advances in Financial Market Analysis, vol 3

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: Modelling and forecasting financial markets is a very important area of interest for policy-makers and economists. They are particularly interested in forecasting prices of financial instruments in the process of economic decision-making. These important issues are covered by both academic monographs and press magazines. The globalization process and integration of financial markets affects the economic growth worldwide. Real-time transactions and capital flows influence stock markets, exchange rates and interest rates in the short run and economic growth in the long run. There are many econometric applications in financial modelling and forecasting. Financial markets generate large datasets. Both new theoretical and empirical issues are raised when modelling financial markets. They stimulate the development of new econometric methods and testing procedures. We offer in this monograph an expertise in principles of modelling, forecasting and decision-making in financial markets. The monograph is addressed to economists, financial analysts and professionals who are involved in the theoretical and empirical issues concerning the financial and more general macroeconomic framework. The book covers topics in the broad area of forecasting and economic decision-making in financial markets. The topics are centered at modelling interactions between markets with advanced econometric models. The monograph is both theoretically and empirically oriented. It covers a diversity of topics in advanced econometric methodology and applications in financial modelling. It gives the studies in financial markets modelling and forecasting within the framework of volatility models and Bayesian econometrics. The topics include main issues in modeling stock returns and volatility. Modelling and forecasting stock markets is a key interest of financial analysts in their decisions about portfolio allocation and investment strategies. The monograph consists of four parts. Part one outlines principles of modelling, forecasting and decision-making in financial markets. It consists of three chapters. They offer an advanced econometric approach to modelling exchange rates as well as stock prices and indexes. Part two is focused on modelling stock market returns and volatility. It consists of three chapters. They present various issues in stock market linkages, linear or non-linear dependencies in stock markets and forecasting performance of implied volatility. Part three includes four chapters which are focused on advanced theoretical studies in volatility models within a Bayesian frame-work. Finally, Part four presents theory and applications in econometric and statistical methods. This Part offer selected topics in game theory to be applied in financial markets, the co-dependence between financial markets and macroeconomy and portfolio analysis within the panel data estimation methods. This monograph was preceded by the annual international conference Forecasting Financial Markets and Economic Decision-Making (FindEcon) which was held in 2006. The FindEcon conference, first proposed in 2002, is organized by the Department of Econometrics at the University of Łódź, Poland. This monograph is published within the framework of FindEcon Monograph Series on Advances in Financial Market Analysis' under the title Financial Markets: Principles of Modelling, Forecasting, and Decision-Making. The FindEcon Monograph Series was launched as the output of FindEcon 2005 conference with two monographs which were published in 2006 (Numbers 1 and 2). Three monographs (Numbers 3, 4 and 5) are published after FindEcon 2006 conference. The scientific quality of the papers in this book 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 book as this is a selection of insightful studies on modeling and forecasting financial markets.

Keywords: Modelling financial markets; Forecasting and decision-making in financial markets; Bayesian econometrics; Volatility in financial markets; Modelling stock market returns (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
Edition: 1
ISBN: 978-83-7525-152-4
References: Add references at CitEc
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Downloads: (external link)
https://www.repec.uni.lodz.pl/RePEc/files/findec/2007/2007_No_3_Ch_0.pdf (application/pdf)
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Chapters in this book:

Ch 1 Flexibility and Parsimony in Multivariate Financial Modelling: a Hybrid Bivariate DCC-SV Model , pp 11-26

Jacek Osiewalski and Anna Pajor

Ch 2 Forecasting Stochastic Unit Root Models , pp 27-43

Magdalena Osinska

Ch 3 Forecasting the Dependence Between Polish Financial Returns , pp 45-58

Ryszard Doman

Ch 4 A Note on the Market Model Specification when Stocks Markets Are Integrated , pp 61-67

Paweł Miłobędzki

Ch 5 The Isolation of Maximum Length Sub-periods in Which a Stock Return Series is Exhibiting Linear and Non-Linear Dependencies (Todea-Zoicas Algorithm) , pp 69-83

Alexandru Todea and Adrian Zoicas-Ienciu

Ch 6 Using Implied Volatility to Forecast Daily Realized Volatility of WIG20 Index , pp 85-98

Piotr Płuciennik

Ch 7 Bayesian Analysis and Forecasting of the Conditional Correlations Between Stock Index Returns with Multivariate SV Models , pp 101-121

Anna Pajor

Ch 8 Bayesian Comparison of GARCH Processes with Asymmetric and Heavy Tailed Conditional Distributions , pp 123-140

Mateusz Pipień

Ch 9 A Bayesian Inference About Simple STUR Models with GARCH Errors , pp 141-152

Jacek Kwiatkowski

Ch 10 Bayesian Pricing of European Call Options on the WIG20 Index , pp 153-164

Maciej Kostrzewski

Ch 11 A Generalization of the Stability of Equilibrium in a Repeated Game , pp 167-178

Ilie Parpucea

Ch 12 The Relationship between Stock Market and Economic Growth in Developing Economies: An Econometric Analysis on Nigeria , pp 179-186

Mete Feridun and Tokunbo Simbowale Osinubi

Ch 13 Forecasting the Returns Based on the Panel Data Estimation Methods , pp 187-197

Ewa Majerowska

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