| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0331233 |
| utime |
20240111140727.7 |
| mtime |
20091125235959.9 |
| title
(primary) (eng) |
Study of a BVAR(p) process applied to U.S. commodity market data |
| specification |
| page_count |
12 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0331232 |
| ISSN |
2070-3724 |
| title
|
Proceedings of World Academy of Science, Engineering and Technology, WCSET 2009 |
| part_num |
Volume 58 |
| part_title |
Part III. |
| page_num |
424-435 |
| publisher |
| place |
Venice |
| name |
Academic Science Research |
| year |
2009 |
|
| editor |
|
|
| title
(cze) |
Studium BVAR(p) procesu aplikovaného na data z komoditních trhů v USA |
| keyword |
Vector Auto-regression |
| keyword |
Forecasting |
| keyword |
Financial |
| keyword |
Bayesian |
| keyword |
Efficient Markets |
| author
(primary) |
| ARLID |
cav_un_auth*0101205 |
| name1 |
Šindelář |
| name2 |
Jan |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
2C06001 |
| agency |
GA MŠk |
| ARLID |
cav_un_auth*0217685 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| abstract
(cze) |
Článek přináší aplikovanou studii multivariantního AR(p) procesu vhodnou pro denně získávaná data z termínovaných obchodu s komoditami v USA při využití Bayesiovské statistiky. V první části článku je popsana detailně metoda použití, ve druhé části jsou pak dva příklady pro BVAR procesy. |
| action |
| ARLID |
cav_un_auth*0255537 |
| name |
International Conference on Operational Research and Financial Engineering 2009 |
| place |
Benátky |
| dates |
28.10.2009-30.10.2009 |
| country |
IT |
|
| reportyear |
2010 |
| RIV |
BB |
| permalink |
http://hdl.handle.net/11104/0176805 |
| arlyear |
2009 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0331232 Proceedings of World Academy of Science, Engineering and Technology, WCSET 2009 Part III. Volume 58 2070-3724 424 435 Venice Academic Science Research 2009 |
| mrcbU67 |
Ardil Cemal 340 |
|