Forecasting the Dependence Between Polish Financial Returs

• Autorzy: Ryszard Doman
• Języki publikacji: EN

Abstrakty

EN

In this chapter, for a given one-parameter copula family, we propose a parametric conditional copula model in which the copula parameter is allowed to evolve over time, and the evolution is governed by some specification involving Kendall's tau dependence measures of the marginal returns. The model is applied to modelling and forecasting the conditional dependence in the case of two pairs of Polish financial returns: exchange rates EUR/PLN and USD/PLN, and stock indices WIG20 and MIDWIG. (fragment of text)

Słowa kluczowe

EN

Mathematical modeling; Rate of return calculation; Polish Zloty; Euro; United States dollar (USD)

PL

Modelowanie matematyczne; Kalkulacja stopy zwrotu; Złoty polski; Euro; Dolar amerykański (USD)

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2007
• Numer: nr 3 Financial markets : principles of modeling forecasting and decision-making
• Strony: 45--58

Twórcy

autor

Ryszard Doman

• Adam Mickiewicz University in Poznań, Poland

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