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  1. 1 Studia Ekonomiczne

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  1. 1 Zdanowicz T.

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Zmienność momentów wyższych rzędów na rynkach finansowych

100%
Zdanowicz T.
Studia Ekonomiczne
|
2013
|
vol. 154
152-161
EN
The dynamic development of Chinese economy observed since the 80s of the twentieth century, increasingly draws attention to this country as a candidate for the leadership of world trade. This rapid growth is supported by two powerful stock exchanges in Shanghai and Shenzhen. Chinese phenomenon is now of interest to a wide audience of potential investors and researchers [2]. Modeling time varying conditional asymmetry or kurtosis becomes more often the subject of analysis, especially during the growing world financial crisis. Autoregressive Conditional Density Models (ARCD), which were first presented in 1994 by Hansen [3], allow for modeling the conditional volatility of the entire distribution with a relatively simple parameterization. There are also extension of the classical model of Hansen on the other conditional distributions, more complex equations of shape and asymmetry parameters of the distribution. ARCD models was used to model the financial data of world stock exchanges in relation to the ranks of China's stock exchange.
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