Zmienność momentów wyższych rzędów na rynkach finansowych

• Authors: Tomasz Zdanowicz

Title variants

EN

Higher Order Moments Variability in the Financial Markets

• Languages of publication: PL

Abstracts

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.

Keywords

PL

Giełdy światowe; Gospodarka światowa; Indeks giełdowy; Model ACD (Autoregresyjna duracja warunkowa); Rynki finansowe

EN

ACD model (Autoregressive conditional duration); Financial markets; Stock market indexes; World economy; World stock markets

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 154
• Pages: 152-161

Contributors

author

Tomasz Zdanowicz

References

• Dark J.G., Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk, "Studies in Nonlinear Dynamics and Econometrics" 2010, Vol. 14.
• Fałdziński M., Osińska M., Zdanowicz T., Econometric Analysis of the Risk Transfer on Capital Markets. A Case of China, Referat wygłoszony na 71. konferencji International Atlantic Economic Society w Atenach, 2011.
• Hansen B.E., Autoregressive Conditional Density Estimation, "International Economic Review" 1994, Vol. 35.
• Nyblom J., Testing the Constancy of Parameter over Time, "Journal of the American Statistical Association" 1989, Vol. 84.
• Osińska M., Zdanowicz T., What Drives Chinese Financial Markets?, w: Financial Markets. Principles of Modelling, Forecasting and Decision-Making, FindEcon Monograph Series: Advances in Financial Market Analysis, 9, eds. W. Milo, G. Szafrański, P. Wdowiński, Uniwersytet Łódzki, Łódź 2011.
• Theodossiou P., Skewed Generalized Error Distribution of Financial Assets and Option Pricing, 2000, http://ssrn.com/abstract=219679.

Identifiers

ISSN

2083-8611