FindEcon Monograph Series: Advances in Financial Market Analysis, vol 7

Edited by Władysław Milo (), Piotr Wdowiński () and Grzegorz Szafrański ()

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

Abstract: The Volume No. 7 under the title “Financial Markets: Principles of Modelling, Forecasting, and Decision-Making” in a Series “Advances in Financial Market Analysis” includes thirteen chapters. They cover a wide range of current empirical and theoretical issues connected with financial markets, economics of finance, and financial econometrics. In particular, in four separate parts of the monograph, there are discussed new methods of financial econometrics, issues of modelling stock returns, financial derivatives, and portfolio selection problems. Part One is devoted to “Statistical and Econometrics Methods in Finance”. Part Two deals with modelling the aggregate dynamics of stock market returns. Two chapters of Part Three are devoted to modelling and pricing of derivative instruments. In Part Four different portfolio models are considered. The chapters are revised papers discussed at the international conference on Forecasting Financial Markets and Economic Decision-Making FindEcon’2007. The Conference is organized annually by the Department of Econometrics, University of Łódź, Poland since 2002. Starting from 2005 the conference mono-graph is published within the framework of “FindEcon Monograph Series”. All papers were subject to the review process by independent referees. We appreciate their job and would like to thank them for their efforts. We are grateful to discussants of the FindEcon Conference for their comments as they helped to improve the final drafts of the papers presented during the 2007 edition of the Conference.

Keywords: Statistical and econometrics methods in finance; Stock market returns modelling; Modelling and pricing of derivative instruments; Portfolio models (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
Edition: 1
ISBN: 978-83-7525-302-3
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https://www.repec.uni.lodz.pl/RePEc/files/findec/2009/2009_No_7_Ch_0.pdf (application/pdf)
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Chapters in this book:

Ch 1 Stock Price and Volume Relation at the Warsaw Stock Exchange , pp 11-21

Paweł Miłobędzki

Ch 2 Testing for Second-Order LSTR Cointegration – Some Simulation and Empirical Results , pp 23-39

Joanna Bruzda

Ch 3 The Impact of Conditional Skewness Assumption on the Relation between Risk and Return. Bayesian Analysis for WIG Data , pp 41-58

Mateusz Pipień

Ch 4 Financial Applications of Random Matrix Theory – Covariance Matrix Filtering Techniques , pp 59-69

Małgorzata Snarska

Ch 5 Forecasting Wholesale Electricity Prices: A Review of Time Series Models , pp 71-82

Rafał Weron

Ch 6 Dynamics of Conditional Bivariate Distribution’s Shape Parameters: The Case of Central Europe Stock Market Returns , pp 85-100

Ryszard Doman

Ch 7 Using Realized Volatility In Estimating Diffusion Models , pp 101-110

Piotr Płuciennik

Ch 8 Foreign Currency Futures and Spot Market Dynamics: Specificity and Linkages , pp 113-126

Małgorzata Doman

Ch 9 Bayesian Analysis of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates , pp 127-142

Anna Pajor

Ch 10 Immunization Conditions and Immunization Risk for a Fixed-Income Portfolio , pp 145-155

Joanna Klimkowska

Ch 11 Forecasting Portfolio Return Based on Bayesian Network Model , pp 157-171

Joanna Olbrys

Ch 12 The Application of the Theory of Games for Purpose of Making a Choice of Portfolio , pp 173-183

Anna Sroczyńska-Baron

Ch 13 Malliavin Calculus Approach to the Optimal Portfolio Choice in the Model with Vasicek (1977) Interest Rate , pp 185-201

Anna Gutkowska

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Persistent link: https://EconPapers.repec.org/RePEc:ann:findeb:book:y:2009:n:07:mon

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