In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet variance and correlation decompositions. In particular, questions about changes of the investment risk and the possibility of international portfolio diversification under different investment horizons are addressed. The study documents both convergence of the Central and Eastern European equity markets as well as their segmentation on the European market. The latter enables reduction of portfolio returns variability by an international portfolio diversification, especially for long investment horizons.
{"title":"European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis","authors":"J. Bruzda","doi":"10.12775/DEM.2010.002","DOIUrl":"https://doi.org/10.12775/DEM.2010.002","url":null,"abstract":"In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet variance and correlation decompositions. In particular, questions about changes of the investment risk and the possibility of international portfolio diversification under different investment horizons are addressed. The study documents both convergence of the Central and Eastern European equity markets as well as their segmentation on the European market. The latter enables reduction of portfolio returns variability by an international portfolio diversification, especially for long investment horizons.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"106 1","pages":"15-30"},"PeriodicalIF":0.0,"publicationDate":"2010-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For the empirical analysis the financial risk model evaluation was conducted. In this paper the POT method was compared with standard volatility models (GARCH and SV) in case of the conditional modeling.
{"title":"Application of Modified POT Method with Volatility Model for Estimation of Risk Measures","authors":"M. Fałdziński","doi":"10.12775/DEM.2009.012","DOIUrl":"https://doi.org/10.12775/DEM.2009.012","url":null,"abstract":"The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For the empirical analysis the financial risk model evaluation was conducted. In this paper the POT method was compared with standard volatility models (GARCH and SV) in case of the conditional modeling.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"116 1","pages":"119-128"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Presented paper concerns the dynamic factor models theory and application in the econometric analysis of GDP in Poland. DFMs are used for construction of the economic indicators and in forecasting, in analyses of the monetary policy and international business cycles. In the article we compare the forecast accuracy of DFMs with the forecast accuracy of 2 competitive models: AR model and symptomatic model. We have used 41 quarterly time series from the Polish economy. The results are encouraging. The DFM outperforms other models. The best fitted to empirical data was model with 3 factors.
{"title":"Estimating and Forecasting GDP in Poland with Dynamic Factor Model","authors":"Jarosław Krajewski","doi":"10.12775/DEM.2009.014","DOIUrl":"https://doi.org/10.12775/DEM.2009.014","url":null,"abstract":"Presented paper concerns the dynamic factor models theory and application in the econometric analysis of GDP in Poland. DFMs are used for construction of the economic indicators and in forecasting, in analyses of the monetary policy and international business cycles. In the article we compare the forecast accuracy of DFMs with the forecast accuracy of 2 competitive models: AR model and symptomatic model. We have used 41 quarterly time series from the Polish economy. The results are encouraging. The DFM outperforms other models. The best fitted to empirical data was model with 3 factors.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"139-145"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546667","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented results developed an earlier study of World Stock Exchange classification. These stock exchanges will be further analysed according to their interaction.
{"title":"The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models","authors":"Tomasz Chruściński","doi":"10.12775/DEM.2009.011","DOIUrl":"https://doi.org/10.12775/DEM.2009.011","url":null,"abstract":"In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented results developed an earlier study of World Stock Exchange classification. These stock exchanges will be further analysed according to their interaction.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"111-118"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546404","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper is concerned with econometric modeling of the dynamic spatial processes on the example of the GDP per capita in selected European countries. The considerations of the paper are focused on investigations of the structure of components of the spatio-temporal process. As a result of the analysis some specifications of the dynamic spatial models have been obtained. Next the issues of the estimation and verification of the models are presented. The main conclusion from the analysis is that the econometric models of the spatio-temporal processes ought to be of the dynamic character, e.g. considering the spatial and spatio-temporal trends and spatial, temporal and spatio-temporal autodependence as well.
{"title":"Modeling of Dynamic Spatial Processes","authors":"E. Szulc","doi":"10.12775/DEM.2009.002","DOIUrl":"https://doi.org/10.12775/DEM.2009.002","url":null,"abstract":"The paper is concerned with econometric modeling of the dynamic spatial processes on the example of the GDP per capita in selected European countries. The considerations of the paper are focused on investigations of the structure of components of the spatio-temporal process. As a result of the analysis some specifications of the dynamic spatial models have been obtained. Next the issues of the estimation and verification of the models are presented. The main conclusion from the analysis is that the econometric models of the spatio-temporal processes ought to be of the dynamic character, e.g. considering the spatial and spatio-temporal trends and spatial, temporal and spatio-temporal autodependence as well.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"17-26"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (l). Using daily data (quotations of stock indices), we show that in the Stochastic Volatility models with fat tails and correlated errors (FCSV), the posterior distribution of parameter l strongly depends on the prior assumption about this parameter. In the majority of cases the values of l close to 0 are more probable a posteriori than the ones close to 1.
{"title":"Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models","authors":"Anna Pajor","doi":"10.12775/DEM.2009.008","DOIUrl":"https://doi.org/10.12775/DEM.2009.008","url":null,"abstract":"In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (l). Using daily data (quotations of stock indices), we show that in the Stochastic Volatility models with fat tails and correlated errors (FCSV), the posterior distribution of parameter l strongly depends on the prior assumption about this parameter. In the majority of cases the values of l close to 0 are more probable a posteriori than the ones close to 1.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"81-90"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545928","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article presents the analysis of the contagion effect in the capital markets on the basis of the Markov switching models MS. The research is based on the return of the indexes. There is a distinction of two regimes with different volatility levels, the calm period and the crisis period. Then the analysis of the period’s occurrence was conducted, in reference to global financial crisis. Periods with a similar level of volatility occurrence in the same time. This analysis evidences the shocks transmission between financial markets, what confirms an occurrence of the contagion effect.
{"title":"Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets","authors":"Monika Kośko","doi":"10.12775/DEM.2009.007","DOIUrl":"https://doi.org/10.12775/DEM.2009.007","url":null,"abstract":"This article presents the analysis of the contagion effect in the capital markets on the basis of the Markov switching models MS. The research is based on the return of the indexes. There is a distinction of two regimes with different volatility levels, the calm period and the crisis period. Then the analysis of the period’s occurrence was conducted, in reference to global financial crisis. Periods with a similar level of volatility occurrence in the same time. This analysis evidences the shocks transmission between financial markets, what confirms an occurrence of the contagion effect.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"493 1","pages":"73-80"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.
{"title":"Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification","authors":"Roman Huptas","doi":"10.12775/DEM.2009.013","DOIUrl":"https://doi.org/10.12775/DEM.2009.013","url":null,"abstract":"The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"129-138"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546047","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper attempts to assess the level of synchronization between the business cycles of Poland’s regions and those of the country as a whole. The measure of economic activity was an index of total industrial output sold, recorded monthly from January 1999 to December 2008, adjusted for seasonal and random fluctuations. The analysis of dominant business cycles was performed using spectral analysis. To assess the synchronization of cycles, characteristics of cospectral analysis were used: coefficient of coherence, amplitude intensification and phase difference. In the conclusion, an attempt is made to construct a synthetic indicator as a means of ranking the regions by degree of business cycle synchronization.
{"title":"The Synchronization of Regional Business Cycles with Nationwide Cycles","authors":"Milda Maria Burzała","doi":"10.12775/DEM.2009.006","DOIUrl":"https://doi.org/10.12775/DEM.2009.006","url":null,"abstract":"This paper attempts to assess the level of synchronization between the business cycles of Poland’s regions and those of the country as a whole. The measure of economic activity was an index of total industrial output sold, recorded monthly from January 1999 to December 2008, adjusted for seasonal and random fluctuations. The analysis of dominant business cycles was performed using spectral analysis. To assess the synchronization of cycles, characteristics of cospectral analysis were used: coefficient of coherence, amplitude intensification and phase difference. In the conclusion, an attempt is made to construct a synthetic indicator as a means of ranking the regions by degree of business cycle synchronization.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"61-72"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The article presents the notion of detection of overt or tacit collusion equilibrium in the context of choice of the appropriate econometric method, which is determined by the amount of information that the observer possesses. There has been shown one of the collusion markers coherent with an equilibrium of the proper model of strategic interaction – the presence of structural disturbances in the price process variance for phases of collusion and competition. The Markov Switching Model with switching of variance regimes has been proposed as a proper theoretical method detecting that type of changes without prior knowledge of switching moments. In order to verify the effectiveness of the method it has been applied to a series of lysine market prices throughout and after termination of its manufacturers’ collusion.
{"title":"Econometric Tools for Detection of Collusion Equilibrium in the Industry","authors":"Sylwester Bejger","doi":"10.12775/DEM.2009.003","DOIUrl":"https://doi.org/10.12775/DEM.2009.003","url":null,"abstract":"The article presents the notion of detection of overt or tacit collusion equilibrium in the context of choice of the appropriate econometric method, which is determined by the amount of information that the observer possesses. There has been shown one of the collusion markers coherent with an equilibrium of the proper model of strategic interaction – the presence of structural disturbances in the price process variance for phases of collusion and competition. The Markov Switching Model with switching of variance regimes has been proposed as a proper theoretical method detecting that type of changes without prior knowledge of switching moments. In order to verify the effectiveness of the method it has been applied to a series of lysine market prices throughout and after termination of its manufacturers’ collusion.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"27-38"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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