Browsing by Keyword "wnioskowanie bayesowskie"
Now showing items 1-4 of 4
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An approach to measuring The relation between risk and return. Bayesian analysis for WIG Data (added: 2020-02-25)
(Oficyna Wydawnicza AFM, 2007)The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return of the financial time series. On the basis of the Intertemporal CAl’M model, proposed by Merton (1973), ... -
Dynamiczne stochastyczne modele równowagi ogolnej: Zarys metodologii badań empirycznych (added: 2020-02-25)
(Oficyna Wydawnicza AFM, 2007)The paper presents general idea of construction and estimation of Dynamic Stochastic General Equilibrium Models. Models belonging to the class of DSGE combine in one specification the optimization behavior of consumers and ... -
Markov switching in stochastic variance. Bayesian comparison of two simple models (added: 2020-02-25)
(Oficyna Wydawnicza AFM, 2009)In the paper two particular Markov Switching Stochastic Volatility models (MSSV) are under consideration: one with a switching intercept in the Iog-volatility equation, and the other — with a regime-dependent autoregression ... -
Modele hybrydowe MSV-MGARCH z trzema procesami ukrytymi w badaniu zmienności cen na różnych rynkach (added: 2020-02-25)
(Oficyna Wydawnicza AFM, 2011)J. Osiewalski and A.Pajor (2007, 2009) and J. Osiewalski (2009) introduced hybrid multivariate stochastic variance — GARCH (MSV-MGARCH) models, where the conditional covariance matrix is the product of a univariate latent ...
