Wnioskowanie bayesowskie w ekonometrii finansowej

• Autorzy: Mateusz Pipień

Warianty tytułu

Bayesian Inference in Financial Econometrics

• Języki publikacji: PL

Abstrakty

Celem opracowania jest wykorzystanie wnioskowania bayesowskiego w wybranychzagadnieniach ekonometrii finansowej. Ujęcie bayesowskie zastosowano w odniesieniu do kilku problemów związanych z modelowaniem i prognozowaniem zmienności finansowych szeregów czasowych. Zaprezentowano metody bayesowskiej estymacji, prognozy oraz testowania w ramach modelu zmienności, który zbudowano opierając się na popularnych w ekonometrii finansowej procesie stochastycznym GARCH (Generalised Autoregressive Conditional Heteroscedasticity), zaproponowanym przez T. Bollersleva [1986] jako uogólnienie procesu ARCH (Autorefressive Conditional Heteroscedasticity), który zdefiniowany został w pracy R. Engle'a [1982].(fragment wstępu)

EN

Financial econometrics has become one of the most active areas of econometrics research. The availability of reliable data - even at a very high frequency - and easy access to substantial computing power have spurred the development of new, often very sophisticated methods of modelling financial time series. The objective of this book is to present the results of an application of Bayesian inference to the most important problems of financial econometrics. The Bayesian approach was used in a set of modern issues connected with modelling and forecasting the volatility of financial time series. We apply Bayesian methods to the model of volatility built on the basis of the GARCH (Generalised Autoregressive Conditional Hcteroscedasticity) stochastic process proposed by Bollerslev in 1986 as a generalisation of ARCH class (Autoregressive Conditional Heteroscedastic) defined by Robert Engle, the 2003 Nobel Prize winner. In Chapter 1, the basics of Bayesian statistics and econometrics are presented. Chapter 2 presents the results of Bayesian model comparison applied to competing GARCH specifications, with heavy-tailed and asymmetric conditional distributions. The main goal of Chapter 3 is to present an application of GARCH processes in modelling the volatility of the daily returns of the PLN/USD exchange rate and pricing the European call option for this exchange rate. Chapter 4 presents an application of Bayesian forecasting in Value-at-Risk (VaR) prediction.(AT)

Słowa kluczowe

PL

Ekonometria; Analiza ekonometryczna; Modele ekonometryczne; Wnioskowanie bayesowskie; Przegląd literatury; Rozprawa habilitacyjna

EN

Econometrics; Econometric analysis; Econometric models; Bayesian inference; Literature review; Habilitation thesis

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Krakowie. Seria Specjalna, Monografie
• Rocznik: 2006
• Numer: nr 176
• Strony: 229

Twórcy

autor

Mateusz Pipień

• Akademia Ekonomiczna w Krakowie

Bibliografia

• Achaya V.V. [2003], Is the International Convergence of Capital Adequacy Regulation Desitable?, "Journal of Finance", vol. 58.
• Ait-Sahalia Y., Duarte J. 12003], Nonparametric Option Pricing Under Shape Restrictions, "Journal of Econometrics", vol. 116.
• Andersen T.G., Bollerslev T. [1998a], Answering the Sceptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, "International Economic Review", vol. 39.
• Andersen T.G., Bollerslev T. [1998b], Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements and Longer Run Dependencies, "Journal of Finance", vol. 53.
• Aquilar O., West M. [2000], Bayesian Dynamic Factor Models and Portfolio Allocation, "Journal of Business and Economic Statistics", vol. 18.
• Arrow K. [1965], Aspects of the Theory of Risk-Bearing, Yrjo Jahnsson Saatio, Helsinki.
• Bachelier L. [1900], Théorie de la Spéculation, Annales de Ecole Normale Supérieure Series, vol. 17.
• Barndorf-Niclsen O.E., Shephard N. [2001a], Econometric Analysis of Realised Volatility and its Use in Estimating Stochastic Volatility Models, "Journal of the Royal Statistical Association", vol. 64.
• Barndorf-Nielsen O.E., Shephard N. [2001b], Estimating Quadratic Variation Using Realised Variance, "Journal of Applied Econometrics", vol. 17.
• Barndorf-Nielsen O.E., Shephard N. [2004], Econometric Analysis of Realised Covariation: High Frequency Based Covariance, Regression and Correlation in Financial Economics, "Econometrica", vol. 72.
• Barrios V.E., Blanco J.M. [2003], The Effectiveness of Bank Capital Adequacy Regulation. A Theoretical and Empirical Approach, "Journal of Banking and Finance", vol. 27.
• Bartoszewicz J. [1996], Wykłady ze statystyki matematycznej, PWN, Warszawa.
• Basel II [2004], International Convergence of Capital Measurement and Capital Standards. A Revised Framework, Bank for International Settlements, Basel.
• Bauwens L., Lubrano M.[1997], Bayesian Option Pricing Using Asymmetric GARCH, CORE Discussion Paper No. 9759, Université Catholique de Louvain, Louvain4a-Neuve.
• Bauwens L., Lubrano M. [1998], Bayesian Inference on GARCH Models Using the Gibbs Sampler, "Econometrics Journal", vol. 1.
• Bauwens L., Lubrano M. [2003], Bayesian Option Pricing Using Asymmetric GARCH Models, "Journal of Empirical Finance", vol. 9.
• Bauwens L., Lubrano M., Richard J.F. [1999], Bayesian Inference in Dynamic Econometric Models, Oxford University Press, Oxford.
• Bauwens W.[1984], Bayesian Fuli Information Analysis of Simultaneous Models Using Integration by Monte Carlo, Springer Verlag, Berlin.
• Bauwens W., Richard J.F. [1985], A 1-1 Poly-t Random Variable Generator with Application to Monte Carlo Integration, "Journal of Econometrics", vol. 29.
• Bavva V., Brown S., Klein R. [1979], Estimation Risk and Optimal Portfolio Choice, North-Holland, Amsterdam.
• Bayarri L.M., Berger J. [2004], The Interplay of Bayesian and Frequentist Analysis, "Statistical Science", vol. 14.
• Bayes T.[1763), Essays Towards Solving a Problem in the Doctrine of Changes, Philosophical Transactions of the Royal Society of London, vol. 53.
• Bayesian Analysis in Econometrics and Statistics: The Zellner View [ 1997], red. M. Perl-man, M. Blaug, Edward Elgar, Northhampton.
• Bayesian Analysis of Long Memory and Persistence Using ARFIMA Models [1997], G. Koop, E. Ley, J. Osievvalski, M.F.J. Steel, "Journal of Econometrics", vol. 76.
• Bayesian Data Analysis [1995], A. Gelman, J.B. Carlin, H.S. Stern, D.B. Rubin, Chapman and Hall, London.
• Bayesian Inference on Latent Structure in Time Series [1999], O. Aguilar, G. Huerta, R. Prado, M. West [w:] Bayesian Statistics, t. 6, red. J.O. Berger, H. Bernardo, A. Smith, Oxford University Press, Oxford.
• Beder T. [ 1995], VAR: Seductive but Dangerous, "Financial Analyst Journal", vol. 51.
• Berger J. [1985], Statistical Decision Theory and Bayesian Analysis, Springer-Verlag, New York.
• Berger J.[1990], Robust Bayesian Analysis: Sensitivity to the Prior, "Journal of Statistical Planning and Inference", vol. 25.
• Berger J. [2000], Bayesian Analysis: A Look at Today and Thoughts of Tomorrow, "Journal of the American Statistical Association", vol. 95.
• Berger J., Pericchi L. [2001] Objective Bayesian Methods for Model Selection: Introduction and Comparison [w:] Model Selection, red. P. Lahiri, Institute of Mathematical Statistics Lecture Notes, vol. 28.
• Berkes I., Horvath L., Kokoszka P. [2003], GARCH Processes: Structure and Estimation, "Bernoulli", vol. 9.
• Bernardo J.M. [ 1979], Reference Posterior Distributions for Bayesian Inference, "Journal of the Royal Statistic Society", vol. 41.
• Bernardo J.M., Smith A.EM. [1993], Bayesian Theory, John Wiley & Sons, New York.
• Bertrand J. [ 1889], Calcul des Probabilités, Gauthier-Villars, Paris.
• Best P. [2000], Wartość narażona na ryzyko, Oficyna Ekonomiczna Dom Wydawniczy ABC, Kraków.
• Betró B., Męczarski M., Ruggeri F. [ 1994], Robust Bayesian Analysis Under Generalised Moments Conditions, "Journal of Statistical Planning and Inference", vol. 41.
• Bijak W. [1981], Problem wyboru zmiennych w bayesowskiej analizie modelu ekonometrycznego, "Przegląd Statystyczny", vol. 28.
• Black F. [1976a], The Pricing of Commodity Contracts, "Journal of Financial Economics", vol. 3.
• Black F. [ 1976b], Studies of Stock Market Volatility Changes [w:] 1976 Proceedings of the American Statistical Association, Business and Economic Statistics Section.
• Black F., Scholes M. [1973], The Pricing of Options and Corporate Liabilities, "Journal of Political Economy", vol. 81.
• Blair B.J., Ponn S.-H., Taylor S.J. [2001], Forecasting S&P100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Return, "Journal of Econometrics", vol. 105.
• Bollerslev T. [1986], Generalised Autoregressive Conditional Heteroscedasticity, "Journal of Econometrics", vol. 31.
• Bollerslev T.[1987], A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, "Review of Economics and Statistics", vol. 69.
• Bollerslev 'l". [2001] Financial Econometrics: Past Developments and Future Challenges, "Journal of Econometrics", vol. 100.
• Bollerslev T., Chou R.Y., Kroner K.F. [1992], ARCH Modelling in Finance: A Selective Review of the Theory and Empirical Evidence, "Journal of Econometrics", vol. 52.
• Bollerslev T., Engle R.F., Nelson D.B. [1994], ARCH Models [vv:] Handbook of Econometrics, t. 4, red. R.F. Engle, D. McFadden, North Holland, Amsterdam.
• Bollerslev T., Woolridge J.M.[1992], Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, "Econometric Reviews", vol. 11.
• Bondarenko O. [2003], Estimation of Risk-Neutral Densties Using Positive Convolution Approximation, "Journal of Econometrics", vol. 116.
• Boole G. [1854], A Investigation of the Laws of Thought, Walton and Maberly, London. Bos Ch.S., Mahieu R.J., Van Dijk H.K. [2000], Daily Exchange Rate Behaviour and Hedging of Currency Risk, "Journal of Applied Econometrics", vol. 15.
• Bougerol P., Pickard N.[1992], Stationarity of GARCH Processes and of Some Nonnegative Time Series, "Journal of Econometrics", vol. 52.
• Box G.E.P., Tiao G.C. [1973], Bayesian Inference in Statistical Analysis, Add i son-Wesley, London.
• Brooks Ch., Persand G. [2003), Volatility Forecasting for Risk Management, "Journal of Forecasting", vol. 22.
• Brown L.D. [1986], Foundations of Exponential Families, IMS Lecture Notes No. 6, Hay-ward, California.
• Buckle D.J. [ 1995], Bayesian Inference for Stable Distributions, "Journal of the American Statistical Association", vol. 90.
• Cadsby C.B.[1989], Canadian Calendar Anomalies and the Capital Asset Pricing Model [w:] A Reappraisal of the Efficiency of Financial Markets, red. R.M.C. Guimaraes, B.G. Kingsman, S.J. Taylor, Springer-Verlag, Berlin.
• Campbell J.Y., Lo W.A., MacKinlay A.C.[1997], The Econometrics of Financial Markets, Princeton University Press, Princeton.
• Casella G., George E. [1992], Explaining the Gibbs Sampler, "The American Statistician", vol. 46.
• Charemza W., Gronicki M. [ 1985], Ekonometryczna analiza nierównowagi gospodarczej Polski, PWN, Warszawa.
• Chen M.H., Shao Q.M., Ibrahim J.G. [2000], Monte Carlo Methods in Bayesian Computation, Springer-Verlag, New York.
• Chiuri M.C., Ferri G., Majnoni G. [2003], The Macroeconomic Impact of Bank Capital Requirement in Emerging Economies: Past Evidence to Assess the Future, ".Iournal of Banking and Finance", vol. 26.
• Chrislofferscn P.F.[1996], Evaluating Interval Forecasts, international Economic Review", vol. 39.
• Christoffersen P.F., Diebold FX. [2000], How Relevant is Volatility Forecasting for Financial Risk Management, "Review of Economics and Statistics", vol. 82.
• Cox D.[1962], Further Results on Tests of Separate Families of Hypothesis, "Journal of the Royal Statistical Society B", vol. 24.
• Cox J.C., Ross S.A. [ 1976], The Valuation of Options for Alternative Stochastic Processes, ..Journal of Financial Economics", vol. 3.
• Culter D.M., Poterba J.M., Summers E.H. [ 1989], What Moves Stock Prices?, "Journal of Portfolio Management", vol. 15.
• Dastoor N.K. [1983], Some Aspects of Testing Nonnested Hypotheses, "Journal of Econometrics", vol. 21.
• Dave R.D., Stahl G.[1997], On the Accuracy of VAR Estimates Based on the Variance-Covariance Approach, Working Paper, Olsen & Associates Research Institute for Applied Economics, Zurich.
• Davidson R., MacKinnon J.G. [ 1981], Severed Tests for Model Specification in the Presence of Alternative Hypotheses, "Econometrica", vol. 49.
• Deaton A.S.[1982], Model Selection Procedures, or. Does the Consumption Function Exist? [w:] Evaluating the Reliability of Macroeconomic Models, red. G.C. Show, P. Corsi, John Wiley, New York.
• DeGroot M.H.[1981], Optymalne decyzje statystyczne, PWN, Warszawa.
• Diebold FX, Gunther T.A., Tay A.S. 11998|, Evaluating Density Forecasts with Applications to Financial Risk Management, international Economic Review", vol. 39.
• Diebold FX., Mariano R.S.[1995], Comparing Predictive Accuracy, "Journal of Business and Economic Statistics", vol. 13.
• Ding Z., Granger C.W., Engle R.F [1993], A Long Memory Property of Stock Market Returns and a New Model, "Journal of Empirical Finance", vol. 1.
• The Distribution of Realised Exchange Rate Volatility [2001], T.G. Andersen, T. Bollerslev, FX.
• Diebold, P. Eabys, "Journal of the American Statistical Association", vol. 96.
• Doman M., Doman R. [2004], Ekonometryczne modelowanie dynamiki polskiego rynku finansowego, Wydawnictwo AE w Poznaniu, Poznañ.
• Duan J.Ch. [ 1995], The GARCH Option Pricing Model, Mathematical Finance", vol. 5.
• Duan J.Ch. [1996], Cracking the Smile, "Risk", vol. 9.
• Eckhoudt L., Golier Ch. [1995], Risk. Evaluation, Management and Sharing, Harvester Wheatsheaf, New York.
• Ederington L. [ 1979] The Hedging Performance for the New Futures Markets, "Journal of Finance", vol. 34.
• Engle R.F. [1982], Autoregressive Conditional! Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation, "Econometrica", vol. 50.
• Engle R.F. [1995], ARCH: Selected Readings, Advanced Texts in Econometrics, Oxford University Press, Oxford.
• Engle R.F. [2001], Financial Econometrics - A New Discipline with New Methods, "Journal of Econometrics", vol. 100.
• Engle R.F., Bollerslev T. [1986], Modelling the Persistence of Conditional Variance, "Econometric Reviews", vol. 5.
• Engle R.F., Lilien D.M., Robins R.R [ 1987], Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model, "Econometrica", vol. 55.
• Engle R.F., Manganelli S. [2004], CAViaR: Conditional Autoregressive Value-at-Risk by Regression Quantiles, "Journal of Business and Economic Statistics", vol. 22.
• Equation of State Calculations by Fast Computing Machine [1953], N. Metropolis, A.W. Rosenbluth, M.N. Rosenbluth, A.M. Teller, E. Teller, "Journal of Chemical Physics", vol .21.
• Fallon W. [1996], Calculating Value-at-Risk, Working Paper No. 9649, Wharton Financial Institutions Center Working Paper Series.
• Fama E.F. [1965], The Behaviour of Stock Market Prices, "Journal of Business", vol. 38.
• Fernandez C, Osiewalski J., Steel M.F.J. [1995], Modelling and Inference with v-Spherical Distributions, "Journal of the American Statistical Association", vol. 90.
• Fernandez C, Steel M.F.J. [J998], On Bayesian Modelling of Fat Tails and Skewness, "Journal of the American Statistical Association", vol. 93.
• Ferreira J.T., Steel M.F.J. [2005] A Constructive Representation of Univariate Skewed Distribution, Statistics Research Report 422, University of Warwick Working Paper Series.
• Fienberg S., Zellner A. [1975], Studies in Bayesian Econometrics and Statistics in Flonor of Leonard J. Savage, North-Holland, New York.
• Finetli B. de [1974], Theory of Probability. A Critical Introductory Treatment, John Wiley, London.
• Fisher G.R., McAleer M. [1981], Alternative Procedures and Associated Tests of Significance for Nonnested Hypotheses, "Journal of Econometrics", vol. 16.
• Fisz M. [1954], Rachunek prawdopodobieństwa i statystyka matematyczna, PWN, Warszawa.
• Fiszeder P. [2002], Univariate GARCH Models - Modelling Returns of Stocks and Indices Quoted on the WSE [w:] Dynamic Econometric Models, t. 5, Wydawnictwo UMK, Toruń.
• Fiszeder P. [2003], Zastosowanie modeli GARCH w analizie procesów obserwowanych na GPW w Warszawie oraz wybranych rynkach akcji na świecie [w:] Metody ilościowe w naukach ekonomicznych. Trzecie warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Fiszeder P. [2004], Prognozowanie zmienności na podstawie modeli GARCH, "Rynek Terminowy", nr 25.
• Fong G., Vasicek O.A. [1997], A Multidimensional Framework for Risk Analysis, "Financial Analysts Journal", vol. 53.
• French K.R., Schwert W.G., Strambaugh R.F. [1987], Expected Stock Returns and Volatility, "Journal of Financial Economics", vol. 19.
• Friedman M., Savage L.J. [ I948], The Utility Analysis of Choice Involving Risk, " Journal of Political Economy", vol. 56.
• Friedman M., Savage L. J. [1952], The Expected-utility Hypothesis and the Mesurability of Utility, .Journal of Political Economy", vol. 60.
• G-30 Report [1993], Derivatives: Practices and Principles, Basel.
• Gamerman D. [1997], Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Chapman and Hall, London.
• Gamrowski B., Rachev S.T. [1996), Testing the Validity of Value-at-Risk Measures [w:] Applied Probability, Springer, Berlin.
• Garcia R., Luger R., Renault E. [2003], Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables, "Journal of Econometrics", vol. 116.
• Garman MB., Kohlhagen S.W. [19831, Foreign Currency Option Values, "Journal of International Money and Finance", vol. 2.
• George E., McCulloch R. [2001] The Practical Implementation of Bayesian Model Selection [w:] Model Selection, red. P. Lahiri, IMS Lecture Notes No. 28.
• Geweke J. [ 1986] Exact Inference in the Inequality Constrained Normal Linear Regression Model, "Journal of Applied Econometrics", vol. 1.
• Geweke J. [1988], Antithetic Acceleration of Monte Carlo Integration in Bayesian Inference, "Journal of Econometrics", vol. 38.
• Geweke J. [ 1989a], Bayesian Inference in Econometric Models Using Monte Carlo Integration, "Econometrica", vol. 57.
• Geweke J. [1989b], Exact Predictive Densities for Linear Models with ARCH Disturbances, "Journal of Econometrics", vol. 40.
• Geweke J. 11999], Using Simulation Methods for Bayesian Econometric Models: Inference, Development and Communication, "Econometric Reviews", vol. 18.
• Geweke J. [2001], Bayesian Econometrics and Forecasting, "Journal of Econometrics", vol. 100.
• Ghysels E., Harvey A., Renault E. [1995], Stochastic Volatility [w:] Handbook of Statistics. Vol 14: Statistical Methods in Finance, red. G.S. Maddala, C.R. Rao, North Holland, Amsterdam.
• Ghysels E., Tauchen G. [2003], Frontiers of Financial Econometrics and Financial Engineering, "Journal of Econometrics", vol. 116.
• Giaritis L.P., Robinson P.M. [2001], Whittle Estimation of ARCH Models, "Econometric Theory", vol. 17.
• Glosten L.R., Jagannathan R., Runkle D.E. [1993], On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, "Journal of Finance", vol. 48.
• Gonzales-Rivera G.[1997], A Note on Adaptation in GARCH Models, "Econometric Reviews", vol. 16.
• Good I.J. [ 1983], Good Thinking: The Foundations of Probability and Its Applications, University of Minnesota Press, Minneapolis.
• Goodhart C.A.E., O'Hara M. [ 1997], High Frequency Data in Financial Markets: Issues and Applications, "Journal of Empirical Finance", vol. 4.
• Gospodarka Polski w okresie transformacji [2000], red. A. Welfe, PWN, Warszawa.
• Gourieroux C. [ 1997], ARCH Models and Financial Applications, Springer Verlag, New York.
• Gourieroux C. Monfort A. [1995], Testing, Encompassing, and Simulating Dynamic Econometrics Models, "Econometrics Theory", vol. 11.
• Granger C.W.J., Ding Z. [1995], Some Properties of Absolute Returns. An Alternative Measure of Risk, "Annales d'Economie et de Statistique", vol. 40.
• Granger C.W.J., Pesaran M.H. [1996], A Decision-theoretic Approach to Forecast Evaluation, Department of Economic Disscusion Paper No. 9623, University of California, San Diego.
• Green D.J., Silverman B.W. [1994], Nonparametric Regression and Generalised Linear Models, Chapman and Hall, New York.
• Greene W.H. [1998], Econometric Analysis, Macmillan, New York.
• Greń J. [1972] Gry statystyczne i ich zastosowania, PWE, Warszawa.
• Greń J. [1974], Bayesowska estymacja i predykcja w prostym modelu ekonometrycznym, "Przegląd Statystyczny", vol. 21.
• Greń J. [1976], O bayesowskiej estymacji funkcji popytu, "Przegląd Statystyczny", vol. 23.
• Greń J. 11982], Bayesowska estymacja modeli popytu konsumpcyjnego - doświadczenia i wyniki, "Przegląd Statystyczny", vol. 26.
• Greń J., Zjawin-Winkowska Z. [1979], Numeryczne problemy bayesowskiej estymacji potęgowych modeli ekonometrycznych, "Przegląd Statystyczny", vol. 26.
• Gronicki M, Szreder M. [ 1984], Estymacja bayesowska modeli rynku w nierównowadze, "Przegląd Statystyczny", vol. 31.
• Hall P., Yao Q. [2003], Inference in ARCH and GARCH Models with Heavy Tailed Errors, "Econometrica", vol. 71.
• Hastings W.K. [ 1970], Monte Carlo Sampling Methods Using Markov Chains and Their Application, "Biometrika", vol. 57.
• Hendricks D.[1996], Evaluation of Value-at-Risk Models Using Historical Data, Federal Reserve Bank of New York Review.
• Hendricks D., Hirtle B. [1997], Bank Capital Requirements for Market Risk: The Internal Model Approach, Federal Reserve Bank of New York Review.
• Hendry D.[1993], Econometrics: Alchemy or Science?, Blackwell Publishers, Oxford.
• Hill B.M. [1975], A Simple General Approach to Inference about the Tail of Distribution, "Annals of Statistics", vol. 3.
• Holton G.A. [2003], Value-at-Risk. Theory and Practice, Elsevier Academic Press, London.
• Hopper G.[1996], Value-at-Risk: A New Methodology for Measuring Portfolio Risk, Federal Reserve Bank of Philadelfia Business Review.
• Hsiao Ch. [2003], Analysis of Panel Data, Cambridge University Press, Cambridge.
• Hsieh D.A. [1991], Chaos and Nonlinear Dynamics: Application to Financial Market, "Journal of Finance", vol. 46.
• Hull J. [1997], Kontrakty terminowe i opcje. Wprowadzenie, WIG-Press, Warszawa.
• Hull J., White A.[1987], The Pricing of Options with Stochastic Volatilities, "Journal of Finance", vol. 42.
• Jackson P., Maude D., Perraudin W. [1996], Value-at-Risk Techniques: An Empirical Study [w:] Risk Measurement and Systematic Risk, Proceedings of a Joint Central Bank Research Conference, Washington DC.
• Jackson P., Maude D., Perraudin W. [1997], Bank Capital and Value-at-Risk, "Journal of Derivatives", vol. 4.
• Jackson P., Perraudin W., Saporta V. [2002], Regulatory and Economic Solvency Standards to Internationally Active Banks, "Journal of Banking and Finance", vol. 26.
• Jajuga K. [2000a], Miary ryzyka rynkowego, cz. III, "Rynek Terminowy", nr 8.
• Jajuga K. [2000b], Value-at-Risk, "Rynek Terminowy", nr 9.
• Jajuga K., Jajuga T. [1998], Inwestycje, PWN, Warszawa.
• Jeffreys H. [1939], Theory of Probability, Oxford University Press, Oxford.
• Jensen ST., Rahbek A. [2004], Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case, "Econometrica", vol. 72.
• Jorion P. [1995], Predicting Volatility in the Foreign Exchange Market, "Journal of Finance", vol. 50.
• Jorion P. [ 1996a], Risk: Measuring the Risk in Value-at-Risk, "Financial Analyst Journal", vol. 52.
• Jorion P. [1996b], Value-at-Risk: The New Benchmark for Controlling Market Risk, McGraw Hill, New York.
• Jorion P., Khoury S.J. [1996], Financial Risk Management, Blackwell Publishers, Cambridge.
• Jung-Hee L., Brorsen B.W. [1997], A Nonnested Test of GARCH vs. E-GARCH Models, "Applied Economic Letters", vol. 4.
• Kapetanios G. Weeks M. [ 1999], Nonnested Models and the Likelihood Ratio Statistics: A Comparison of Simulation and Bootstrap-based Tests, Cambridge Working Papers in Economics No. 0308.
• Kass R" Wasserman L. [1996], The Selection of Prior Distributions by Formal Rules, "Journal of the American Statistical Association", vol. 91.
• Kim S., Shephard N., Chib S. [1998], Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, "Review of Economic Studies", vol. 65.
• Kleibergen F., Van Dijk H.K.[1993], Non-stationarity in GARCH Models: A Bayesian Analysis, "Journal of Applied Econometrics", vol. 8.
• Kloek T, Van Dijk H.K. [1978], Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo, "Econometrica", vol. 46.
• Knight F.H. [ 1921], Risk. Uncertainty and Profit, Houghton Miffin, Boston.
• Kociccki A. [2005], Priors for Impulse Responses in Bayesian Structural VAR Models, Narodowy Bank Polski, Warszawa.
• Koop G. [2003], Bayesian Econometrics, John Wiley, New York.
• Koop G" Osievvalski J., Steel M.F.J. [ 1997], Bayesian Efficiency Analysis through Individual Effects: Hospital Cost Frontiers, "Journal of Econometrics", vol. 76.
• Kostrzewski M. [2004], Bayesowska estymacja parametrów dyskretnie obserwowanych procesów dyfuzji na przykładzie modelu CIR, "Przegląd Statystyczny", vol. 3.
• Krzykowski G. [2000], Analiza wyników badań marketingowych. Metody symulacyjne, Wydawnictwo Uniwersytetu Gdańskiego, Gdańsk.
• Kupiec P.[1995], Techniques for Veryfying the Accuracy of Risk Management Models, "Journal of Derivatives", vol. 2.
• Kwiatkowski J. [2000], Bayesian Analysis of Long Memory and Persistence Using ARFIMA Models with Application to Polish Stock Market, "Dynamie Econometric Models", vol. 4, Toruń.
• Kwiatkowski J., Osiewalski J. [2002], Modele ARFIMA: podstawowe własności i analiza bayesowska, "Przegląd Statystyczny", vol. 49.
• Lancaster A. [2004], An Introduction to Modern Bayesian Econometrics, Backwell Publishers, Cambridge.
• Laplace PS. [1773], Mémoire sur l'inclination moyenne des orbites des comètes, sur la figure de la terre, et sur les functions, "Savants étranges", vol. 7.
• Laplace PS. [1812], Théorie analytique des probabilités, Courcier, Paris.
• Laplace PS.[1814], Essai philosophique sur les probabilités, Courcier, Paris.
• Lee. S.W., Hansen B. [1994], Asymptotic Theory for the GARCH(I, I) Quasi-Maximum Likelihood Estimator, "Econometric Theory", vol. 10.
• Liang F. [2002], Dynamically Weighted Importance Sampling in Monte Carlo Computation, "Journal of the American Statistical Association", vol. 97.
• Lien D., Tse Y.K. [2002], Some Recent Developments in Futures Hedging, "Journal of Economic Surveys", vol. 16.
• Liesenfield R. [2001], A Generalised Bivariate Mixture Model for Stock Price Volatility and. Trading Volume, "Journal of Econometrics", vol. 10.
• Lindley D.V. [1972], Bayesian Statistics. A Review, Society for Industrial and Applied Mathematics, Philadelphia.
• Ling S., McAleer M. [2003], On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors, "Annals of Statistics", vol. 31.
• Linsmeyer T, Pearson N. [ 1996], Risk Management: An Introduction to Value at Risk, Department of Accountancy and Department of Finance, University of Illinois at Urbana-Champaign.
• Linton O. [ 1993], Adaptive Estimation in ARCH Models, "Econometric Theory", vol. 9.
• Liu J.S., Liang E, Wong W.H. [2000], The Use of Multiple Try Method and Local Optimization in Metropolis Sampling, "Journal of the American Statistical Association", vol. 95.
• Liu J.S., Liang F, Wong W.H. [2001], A Theory for Dynamic Weighting in Monte Carlo Computation, "Journal of the American Statistical Association", vol. 96.
• Liu R. [1996] VAR and VAR Derivatives, "Capital Market Strategies", vol. 5.
• Liu S" Brorsen B.W.[1995], Maximum Likelihood Estimation of a GARCH Stable Model, "Journal of Applied Econometrics", vol. 10.
• Lopez J.A. [ 1998], Testing Your Risk Tests, "The Financial Survey", May-June.
• Lopez J. A. [1999], Methods for Evaluating Value-at-Risk Estimates, Federal Reserve Bank of San Francisco Economic Review.
• Loretan, M., Phillips P.C.B. [1994], Testing the Covariance Stationarity of Heavy Tailed Time Series, "Journal of Empirical Finance", vol. 1.
• Lovàsz L.[1999], Hit-and-Run Mixes Fast, "Mathematical Programming", vol. 84.
• Lumsdaine R.L. 11995], Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(I, I), and 1GARCH(I, I), Models: A Monte Carlo Investigation, "Journal of Business and Economic Statistics", vol. 13.
• Maddala G.S.,[1977], Econometrics, McGraw-Hill, New York.
• Mahicu R.J., Schotman P.C. [1998], An Emprical Application of Stochastic Volatility Models, "Journal of Applied Econometrics", vol. 13.
• Mahoney J. [ 1996], Empirical-based Versus Model Based Approaches to Value-at-Risk: An Examination of Foreign Exchange and Global Equity Portfolios [w:] Risk Measurements and Systematic Risk, Proceedings of a Joint Central Bank Research Conference, Washington DC.
• Mandelbrot B. [1967], The Variation of Some Other Speculative Prices, "Journal of Business", vol. 40.
• Markovvitz H.M. [1991], Foundations of Portfolio Theory, "Journal of Finance", vol. 46.
• Marshall A. [1920], Principles of Economics, Macmillan, London.
• Marzec J. [1999], Produkty, czynniki produkcji i funkcja kosztów w badaniach efektywności kosztowej banków, "Ekonomista", nr 3.
• Marzec J. [2001], Graniczna funkcja kosztu dla oddziałów banku: wyniki estymacji bayesowskiej [w:] Metody ilościowe w naukach ekonomicznych. Pierwsze warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Marzec J. [2003] Badanie niespłacalności kredytów za pomocą bayesowskich modeli dychotomicznych - założenia i wyniki [w:] Metody ilościowe w naukach ekonomicznych. Trzecie warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Mazur B. [2005], Long-term Structural Modelling of the Aggregate Consumer Demand, Acta Universitatis Lodziensis - Folia Oeconomica, vol. 190.
• McAleer M., Ling S. [ 1998], A Nonnested Test for the GARCH and E-GARCH Models, University of Western Australia, praca niepublikowana.
• McCulloch R., Rossi R [1994], An Exact Likelihood Analysis of the Multinomial Probit Model, "Journal of Econometrics, vol. 64.
• McCulloch J.H. [1985], Interest-risk Sensitive Deposit Insurance Premia: Stable ARCH Estimates, "Journal of Banking and Finance", vol. 9.
• Merton R.C. [ 1973], Theory of Rational Option Pricing, "Bell Journal of Economics and Management Science", vol. 4.
• Męczarski M. [1993], Stability and Conditional T-minimaxity in Bayesian Inference, "Applicationes Mathematicae", vol. 22.
• Męczarski M. [1998], Problemy odporności w bayesowskiej analizie statystycznej, Wydawnictwo SGH, Warszawa.
• Męczarski M. [2000], Bayesians in Poland, "The International Society for Bayesian Analysis Bulletin", vol. 7.
• Mielus R [2002], Rynek opcji walutowych w Polsce, Liber, Warszawa.
• Min C, Zellner A. [1993], Bayesian and Non-bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates, "Journal of Econometrics", vol. 56.
• Mittelhammer R.C., Judge G.C., Miller D.J. [2002], Econometric Foundations, Cambridge University Press, Cambridge.
• Mittnik S., Doganoglu T" Chenyao D. [1999], Computing the Probability Density Function of the Stable Paretian Distribution, "Mathcmatical and Computer Modelling", vol. 29.
• Mittnik S., Paollela M.S., Rachev ST. [2002], Stationary of Stable Power-GARCH Processes, "Journal of Econometrics", vol. 106.
• Mizon G.E. Richard J.E [1986], The Encompassing Principle and Its Appication to Nonnested Hypotheses, "Econometrica", vol. 54.
• Modelling and Forecasting Realised Volatility [2003], T.G. Andersen, T. Bollerslev, EX. Diebold, P. Labys, "Econometrica", vol. 71.
• Monahan J., Genz A. [1996], A Comparison of Omnibus Methods for Bayesian Computation, "Computing Science and Statistics", vol. 27.
• Musiela M., Rutkowski M. [2004], Martingale Methods in Financial Modelling, Springer, New York.
• Nelson D. [1990], Stationarity and Persistence in GARCH(1, 1) Model, "Econometric Theory", vol. 6.
• Nelson D. [1991], Conditional Heteroskedasticity in Asset Returns: A New Approach, "Econometrica", vol. 59.
• Neuman J. von, Morgenstern O. [1944], Theory of Games and Economic Behaviour, Princeton University Press, Princeton.
• Noh J., Engle R.E, Kane A. [1994], Forecasting Volatility and Option Prices of the S&P500 Index, "Journal of Derivatives", vol. 2.
• Nolan J. [1999], An Algorithm for Evaluating Stable Densities in Zolotarev's M Parameterisation, "Mathematical and Computer Modelling", vol. 29.
• O'Hagan A. [1994], Bayesian Inference, Halsted Press, New York.
• Osiewalski J. [1985], Estymacja modelu regresji przy normalnym rozkładzie a priori, "Przegląd Statystyczny", vol. 32.
• Osiewalski J. [1987], Regresja liniowa z jednakowo skorelowanymi składnikami losowymi - ujęcie bayesowskie, "Przegląd Statystyczny", vol. 34.
• Osiewalski J. [1988], Bayesowska estymacji i predykcja w modelu regresji liniowej o złożonej strukturze stochastycznej, "Przegląd Statystyczny", vol. 35.
• Osiewalski J. [1991a], Bayesowska estymacja i predykcja dla jednorównaniowych modeli ekonometrycznych, Seria Specjalna: Monografie, nr 100, Wydawnictwo AE w Krakowie, Kraków.
• Osiewalski J. [1991b], A Note on Bayesian Inference in a Regression Model with Eliptical Errors, "Journal of Econometrics", vol. 48.
• Osiewalski J.[2001], Ekonometria bayesowska w zastosowaniach, Wydawnictwo AE w Krakowie, Kraków.
• Osiewalski J" Goryl A., Wal kosz A. [1996], Ekonometryczne systemy wydatków: specyfikacja stochastyczna i ocena modelu, Folia Oeconomica Cracoviensia, vol. 39-40.
• Osiewalski J., Marzec J. [1998], Analiza bayesowska efektywności kosztowej oddziałów banku: założenia i wyniki [w:] Prognozowanie w zarządzaniu firmą, Prace Naukowe nr 808, Wydawnictwo AE we Wrocławiu, Wrocław.
• Osiewalski J., Pajor A., Pipień M. [2004], Bayesowskie modelowanie i prognozowanie indeksu WIG z wykorzystaniem procesów GARCH i SV [w:] XX Seminarium Ekonometryczne im. Profesora Zbigniewa Pawłowskiego, red. A. Zeliaś, Wydawnictwo AE w Krakowie, Kraków.
• Osiewalski J., Pipień M. [1999a] Bayesian Forecasting of Foreign Exchange Rates Using GARCH Models with Skewed-t Conditional Distributions [w:] 25th International Conference Macromodels'98, red. W. Welfe, Łódź.
• Osiewalski J., Pipień M. [1999b], Bayesowskie testowanie modeli GARCH i IGARCH, "Przegląd Statystyczny", vol. 46.
• Osiewalski J., Pipień M. [1999c], Bayesowskie wnioskowanie o stacjonarności procesów GARCH(I, I), Materiały VI konferencji "Dynamiczne modele ekonometryczne", 7-9 września 1999 r.. UMK, Toruń.
• Osiewalski J., Pipień M. [2000], GARCH-In-Mean through Skewed t Conditional Distributions: Bayesian Inference for Exchange Rates [w:] 26th International Conference Macromodels'99, red. W. Welfe, P. Wdowiński, Łódź.
• Osiewalski J., Pipień M. [2003|, Univariate GARCH Processes with Asymmetries and GARCH-In-Mean Effects: Bayesian Analysis and Direct Option Pricing, "Przegląd Statystyczny", vol. 50.
• Osiewalski J., Pipień M. [2004a] Bayesian Comparison of Bivariate ARCH-type Processes for the Main Exchange Rates in Poland, "Journal of Econometrics", vol. 123.
• Osiewalski J., Pipień M. [2004b], Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification [w:] New Directions in Macromodelling, red. A. Welfe, Elsevier, Amsterdam.
• Osiewalski J., Pipień M. [2004c], Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries [w:] Rynki finansowe - prognozy a decyzje, red. W. Milo, P. Wdowiński, Acta Universitatis Lodziensis - Folia Oeconomica, vol. 177.
• Osiewalski J., Steel M.F.J. [ 1993), A Bayesian Perspective on Model Selection, maszynopis opublikowano w j. hiszpańskim: Una perspectiva bayesiana en selección de modelos, "Cuadernos Economicos", vol. 55/3.
• Osiewalski J., Welfe A. [ 1998], The Price-wage Mechanism: An Endogenous Switching Model, "European Economic Review", vol. 42.
• Osiewalski J., Wróbel-Rotter R. [2002], Bayesowski model efektów losowych w analizie efektywności kosztowej (na przykładzie elektrowni i elektrociepłowni polskich), "Przegląd Statystyczny", vol. 49.
• Pagan A., Schwert G. [1990], Alternative Models for Conditional Stock Volatility, "Journal of Econometrics", vol. 45.
• Pagan A. [1996], The Econometrics of Financial Markets, "Journal of Empirical Finance", vol. 3.
• Pajor A. [2003a], Bayesowska wycena europejskiej opcji kupna na podstawie modelu CSV, Prace Naukowe AE we Wrocławiu, nr 1006, Wrocław.
• Pajor A. [2003b], Procesy zmienności stochastycznej w bayesowskiej analizie finansowych szeregów czasowych, Monografie: Prace Doktorskie Nr 2, Wydawnictwo AE w Krakowie, Kraków.
• Pajor A. [2004], Procesy zmienności stochastycznej w bayesowskiej wycenie opcji europejskiej na kurs PLN/USD, "Przegląd Statystyczny", vol. 51.
• Palm F., Zellner A. [1992], To Combine or Not to Combine? Issues of Combining Forecasts, "Journal of Forecasting", vol. 11.
• Panorska A.S., Mittnik ST., Rachev S. [ 1995], Stable GARCH Models for Financial Time Series, "Applied Mathematics Letters", vol. 8.
• Pesaran M.H., Weeks M. (2001), Nonnested Hypothesis Testing: An Overview [w:] A Companion to Theoretical Econometrics, red. B. Baltagi, Blackwell Publishing, Oxford.
• Phelan M.J. [1995], Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of JP Morgan's Riskmentrics(tm), Working Paper No. 9519, Wharton Financial Institutions Center Working Paper Series.
• Piontek K. [2002], Pomiar ryzyka metodą VaR a modele AR-GARCH ze składnikiem losowym o warunkowym rozkładzie z "grubymi ogonami" [w:] Rynek kapitałowy. Skuteczne inwestowanie, Wydawnictwo Uniwersytetu Szczecińskiego, Szczecin.
• Pipień M. [1999a], Całkowania numeryczne w analizie bayesowskiej: Monte Carlo z funkcją ważności, "Przegląd Statystyczny", vol. 46.
• Pipień M. [1999b], Estymacja modeli GARCH: MNW i podejście bayesowskie, "Przegląd Statystyczny", vol. 46.
• Pipień M. [2001], Bayesowska analiza modeli GARCH: założenia, metody i wyniki [w:] Metody ilościowe w naukach ekonomicznych. Pierwsze warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Pipień M. [2003a], Wycena europejskiej opcji kupna w czasie rzeczywistym. Analiza bayesowska, Materiały VIII konferencji "Dynamiczne modele ekonometryczne", 9-11 września 2003 r., UMK, Toruń.
• Pipień M. [2003b], Zastosowanie wnioskowania bayesowskiego do wyceny opcji, Zeszyty Naukowe AE w Krakowie, nr 628, Kraków.
• Pipień M. [2003c], Zastosowanie wnioskowania bayesowskiego w analizie europejskiej opcji kupna [w:] Metody ilościowe w naukach ekonomicznych. Trzecie warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Pipień M. [2004a], Bayesowska analiza europejskiej opcji kupna. Metody ilościowe w naukach ekonomicznych [w:] Metody ilościowe w naukach ekonomicznych. Czwarte warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Pipień M. [2004b], GARCH Processes with Skewed-t and Stable Conditional Distribution. Bayesian Analysis for PLN/USD Exchange Rate, Folia Oeconomica Cracoviensia, vol. 45.
• Pipień M. [2004c], GARCH Processes with Skewed-t and Stable Conditional Distribution. Dynamic Bayesian Comparison for WIBOR Interest Rates [w:] Proceedings of the 30th International Conference Macromodels'03, red. A. Welfe, W. Welfe, Łódź.
• Pipień M. [2004d], Procesy GARCH o warunkowym rozkładzie skośnym-t lub a-stabilnym. Bayesowskie porównanie mocy wyjaśniającej [w:] Metody ilościowe w naukach ekonomicznych. Piąte warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Welfe, SGH, Warszawa.
• Pipień M. [2004e], Zastosowanie wnioskowania bayesowskiego do określania współczynnika zabezpieczenia w terminowym kontrakcie walutowym, "Przegląd Statystyczny", vol. 51.
• Pipień M. [2005a], Dynamie Bayesian Inference in GARCH Processes with Skewed-t and Stable Conditional Distribution, Acta Universitatis Lodziensis - Folia Oeconomica, vol. 192.
• Pipień M. [2005b], Value at Risk Estimates and Capital Requirements for Market Risk Obtained from GARCH Predictive Densities, Acta Universitatis Lodziensis - Folia Oeconomica, vol. 190.
• Pipień M. [2005c], Wykorzystanie rozkładów predyktywnych w prognozie VaR i rezerw kapitałowych związanych z ryzykiem rynkowym, Materiały IX konferencji "Dynamiczne modele ekonometryczne", 6-8 września 2005 r., UMK, Toruń.
• Pipień M. [2006], Application of Bayesian Inference in Value-at-Risk Estimation with the Use of Conditionally Asymmetric and Fat Tailed GARCH Models, Proceedings of International Conference Forecasting Financial Markets and Economic Decision-making Conference, Acta Universitatis Lodziensis - Folia Oeconomica (w druku).
• Pipień M., Osiewalski J. [1999), Monte Carlo z funkcją ważności w bayesowskiej analizie procesów GARCH, Materiały VII konferencji "Dynamiczne modele ekonometryczne", 7-9 września 1999 r., Toruń.
• Pipień M., Osiewalski J. [2001], Model GARCH-M(1, I): specyfikacja i estymacja bayesowska, Prace Naukowe AE we Wrocławiu, nr 895, Wrocław.
• Pipień M., Pajor A. [2005 ], Bayesowska analiza europejskiej opcji kupna i strategii delta-neutralnej z wykorzystaniem procesów GARCH i CSV, "Przegląd Statystyczny", vol. 52.
• Poirier D.J. [1995], Intermediate Statistics and Econometrics. A Comparatice Approach, MIT-Press, Cambridge.
• Polański Z.[1998], Rynek pieniężny w Polsce w drugiej połowie lat dziewięćdziesiątych: stan i perspektywy, Prace Naukowe Instytutu Badań nad Gospodarką Rynkową, Transformacja Gospodarki, nr 96.
• Poterba J.M., Summers L.H. [1986], The Persistence of Volatility and Stock Market Fluctuations, "American Economic Review", vol. 76.
• Pratt J.[1964], Risk Aversion in the Small and in the Large, "Econometrica", vol. 32.
• Quintana J., Chopra V., Putnam B. [1995], Global Asset Alocation: Stretching Returms by Shrinking Forecasts [w:] Proceedings of the Section on Bayesian Statistical Science, American Statistical Association.
• Rachev S., Mittnik S. [2002], Stable Paretian Models in Finance, John Wiley, New York.
• Raiffa H., Schlaifer R. [ 1961 ], Applied Statistical Decision Theory. Division of Research, Graduate School of Business and Administration, Harvard University.
• Robert C. [1994], The Bayesian Choice, Springer-Verlag, New York.
• Robert C, Casella G. [2000], Monte Carlo Statistical Methods, Springer-Verlag, New York.
• Rokita P. [2004], Koncepcja wartości zagrożonej (VaR), w analizie ryzyka inwestycji banków na rynku polskim, Rozprawa doktorska, AE we Wrocławiu, Wrocław, maszynopis.
• Ross S.A. [ 1976], The Arbitrage Theory of Capital Asset Pricing, "Journal of Economic Theory", vol. 13.
• Rozeff M., Kinney W. [1976], Capital Market Seasonality: The Case of Stock Market Returns, "Journal of Financial Economics", vol. 3.
• Ryzyko wybranych instrumentów polskiego rynku finansowego [2001], K. Jajuga, K. Ku-ziak, D. Papla, R Rokita, "Rynek Terminowy", nr 11.
• Sadowski W. [1960], Teoria podejmowania decyzji, PWE, Warszawa.
• Samuelson RA. [ 1955], Brownian Motion in Stock Market, praca niepublikowana.
• Sanders A. [2002), Comments on "The Macroeconomic Impact of Bank Capital Requirement in Emerging Economies: Past Evidence to Assess the Future", "Journal of Banking and Finance", vol. 26.
• Sarma M, Thomas S., Shah A. [2003], Selection ofVaR Models, "Journal of Forecasting", vol. 22.
• Savage L.J. [1954], The Foundations of Statistics, John Wiley, New York.
• Schwert G.W. [ 1989], Why Does Stock Market Volatility Change over Time, "Journal of Finance", vol. 44.
• Schwert G.W. [ 19901, Stock Market Volatility, "Financial Analyst Journal", vol. 23-34.
• Sharpe W.F. [ 1964], Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, "Journal of Finance", vol. 19.
• Shephard N. [1996], Statistical Aspects of ARCH and Stochastic Volatility [w:] Time Series Models in Econometrics and Finance and Other Fields, red. DR. Cox, D.V. Hinkley, O.E. Barndorf-Nielsen, Chapman and Hail, London.
• Simons K. [ 1996], Value-at-Risk - Mew Approaches to Risk Management, Federal Reserve Bank of Boston, "New England Economic Review".
• Sławiński A. [2000], Rynek pieniężny w Polsce: stan i perspektywy, Prace Naukowe Instytutu Badań nad Gospodarką Rynkową, Transformacja Gospodarki, nr 105.
• Smith R.L. [1984], Efficient Monte Carlo Procedures for Generating Points Uniformly Distributed over Bounded Regions, "Operations Research", vol. 32.
• Smithson Ch.W., Smith C.W., Wilford D.S. [2000], Zarządzanie ryzykiem finansowym, Oficyna Ekonomiczna, Kraków.
• Steinhaus H. 11948], Sur l'interpretation des resultáis statistiques, "Colloqium Mathematicum", vol. 1.
• Steinhaus H. [1954], Probability, Ver similitude, Possibility, "Appl ¡cationes Mathematicae", nr 1.
• Steinhaus H. [1962], Probability, Credibility, Possibility, "Appl¡cationes Mathematicae", nr 6.
• Stochastic Frontier Analysis: A Bayesian Perspective 11994], J. van den Broeck, G. Koop, J. Osiewalski, M.F.J. Steel, "Journal of Econometrics", vol. 61.
• Strawderman R.L. [2000], Higher-order Asymptotic Approximation: Laplace, Saddle-point and Related Methods, "Journal of the American Statistical Association", vol. 95.
• Szreder M. [1989], Wykorzystanie kwantyli do szacowania parametrów informacyjnych rozkładów a priori dla potrzeb estymacji bayesowskiej, "Przegląd Statystyczny", vol. 36.
• Szreder M. [1994], Informacje a priori w klasycznej i bayesowskiej estymacji modeli regresji, Wydawnictwo Uniwersytetu Gdańskiego, Gdańsk.
• Szreder M, Osiewalski J. [1991], Przykład bayesowskiej estymacji modelu rynku w nierównowadze z wykorzystaniem subiektywnych rozkładów a priori, "Przegląd Statystyczny", vol. 38.
• Taylor S.J. [1986], Modelling Financial Time Series, John Wiley, New York.
• Taylor S.J., Xu X. [1997], The Incremental Volatility Information in One Million Foreign Exchange Quotations, "Journal of Empirical Finance", vol. 4.
• Theil H. [1971], Principles of Econometrics, John Wiley, New York.
• The Theory and Practice of Econometrics [1985], G.G. Judge, W.E. Griffits, R.C. Hill, H. Luetkepohl, T.C. Lee, John Wiley, New York.
• Tierney L. [1994], Markov Chain for Exploring Posterior Distributions, "Annais of Statistics", vol. 22.
• Tierney L., Kadane J.B. [1986], Accurate Approximations for Posterior Moments and Marginal Densities, "Journal of the American Statistical Association", vol. 81.
• Van Dijk H" Kloek T. [1985], Experiments with Some Alternatives for Simple Importance Sampling in Monte Carlo Integration [w:] Bayesian Statistics, t. 2, red. J.M. Bernardo, M.H. DeGroot, D.V. Lindley, A.P.M. Smith, North Holland, Amsterdam.
• Van Dijk H., Kloek T., Boender C.G.E [1985], Posterior Moments Computed by Mixed Integration, "Journal of Econometrics", vol. 29.
• Voit J. [2005], The Statistical Mechanics of Financial Markets, Springer, New York.
• Wachtel S. [1942], Certain Observations on Seasonal Movements in Stock Prices, "Journal of Business", vol. 15.
• Weiss A.A. [1986], Asymptotic Theory for ARCH Models: Estimation and Testing, "Econometric Theory", vol. 2.
• Weiss A.A. [1993], ARMA Models with ARCH Errors, "Journal of Time Series Analysis", vol. 5.
• Weife W. [2005], Priorytetowy kierunek badań: makroekonometryczne modelowanie oraz nowe metody estymacji i weryfikacji hipotez oraz makrosymulacji, "Przegląd Statystyczny", vol. 52.
• Weron A., Weron R. (1998], Inżynieria finansowa: wycena instrumentów pochodnych, symulacje komputerowe, statystyka rynku, WNT, Warszawa.
• West M. [ 1993], Mixture Models, Monte Carlo, Bayesian Updating and Dynamie Models, "Computing Science and Statistics", vol. 24.
• Wong M.Ch.S., Cheng W.Y., Wong C.Y.P. [2003], Market Risk Management of Banks: Implications from the Accuracy of Value-at-Risk Forecasts, "Journal of Forecasting", vol. 22.
• Wróbel-Rotter R. [2003], The Bayesian Comparison of Stochastic Frontier Cost Functions Using MCMC Methods [w:] Metody ilościowe w naukach ekonomicznych. Trzecie warsztaty doktorskie z zakresu ekonometrii i statystyki, red. A. Weife, SGH, Warszawa.
• Wróblewska J. [2005] Bayesian Analysis of Cointegration: An Application to Price Inflation in Poland, referat wygłoszony na konferencji Macromodels'05.
• Zakoian J.M. [ 1994] Treshold Heteroscedastic Models, "Journal of Economic Dynamics and Control", vol. 18.
• Zellner A. [1971], An Introduction to Bayesian Inference in Econometrics, John Wiley, New York.
• Zellner A. [2001], Bayesian and Non-bayesian Approaches to Scientific Modeling and Inference in Economics and Econometrics, Econometric Society World Congress 2000 Contributed Papers.
• Zellner A., Hong C. [1991], Bayesian Methods for Forecasting Turning Points in Economic Time Series: Sensitivity of Forecasts to Asymmetry of Loss Structures [w:] Leading Economic Indicators: New Approaches and Forecasting Records, red. K. Lahiri i G. Moore, Cambridge University Press, Cambridge.
• Zellner A., Keuzenkamp H., McAleer H. [2002], Simplicity, Inference and Modelling, Cambridge University Press, Cambridge.
• Zjawin-Winkowska Z. [1982], Oprogramowanie bayesowskiej techniki estymacji potęgowych modeli ekonometrycznych, "Przegląd Statystyczny", vol. 29.
• Zolotarev U.M. [1961], On Analytic Properties of Stable Distribution Laws, "Selccted Translations in Mathematical Statistics and Probability", vol. 1.
• Zubrzycki S. [ 1966], Wykłady z rachunku prawdopodobieństwa i statystyki matematycznej, PWN, Warszawa.