PL EN


2014 | 203 | 134-142
Article title

Modele Copula M-GARCH o rozkładach niezmienniczych na transformacje ortogonalne

Authors
Content
Title variants
EN
Copula M-GARCH Models with Coordinate Free Conditional Distributions
Languages of publication
PL
Abstracts
EN
We discuss generalisation of the conditional distribution in GARCH model and present empirical analysis indicating its empirical importance. The model is a generalised version of those presented in Pipień (2007, 2010). The flexibility of the construct involves the existence of a set of coordinates along which the fat tails and asymmetry can be modelled. In the conditional distribution both linear and nonlinear dependence between individual returns can be modelled, while the latter being described by the copula function. In the empirical part of the paper the dynamics and dependence of daily returns of WIG20 SPOT and FUTURES are discussed.
Year
Volume
203
Pages
134-142
Physical description
Contributors
References
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  • Osiewalski J., Osiewalski K. (2012): Modele hybrydowe z dwoma procesami ukrytymi. "Zeszyty Naukowe UEK, Seria Finanse" 895.
  • Osiewalski J., Pajor A. (2009): Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility. "Central European Journal of Economic Modelling and Econometrics" 1, s. 179-202.
  • Osiewalski J., Pajor A. (2010): Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches using MSF-SBEKK Models. "Central European Journal of Economic Modelling and Econometrics" 2, s. 253-277.
  • Osiewalski J., Pipień M. (2004): Bayesian Comparison of Bivariate ARCH-Type Models for the Main Exchange Rates in Poland. "Journal of Econometrics" 123, s. 371-391.
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  • Pipień M. (2007): An Approach to Measuring the Relation between Risk and Return. Bayesian Analysis for WIG Data. "Folia Oeconomica Cracoviensia" 48, s. 97-119.
  • Pipień M. (2010): A Coordinate Free Conditional Distributions in Multivariate GARCH Models. W: Financial Markets. Principles of Modelling Forecasting and Decision Making. Eds. W. Milo, P. Wdowiński. FindEcon Conference Monograph Series 8, Łódź University Press, Łódź, s. 99-111.
  • Pipień M. (2012): Orthogonal Transformation of Coordinates in Copula M-GARCH Models - Bayesian Analysis for WIG20 SPOT and FUTURES Returns. "Folia Oeconomica Cracoviensia", 53, s. 21-40.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-82d3fde8-578b-43d9-96c2-a7ba92da7f07
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