Model zmienności stochastycznej

• Autorzy: Janusz Kowalczyk

Warianty tytułu

Stochastic Volatility Models

• Języki publikacji: PL

Abstrakty

Artykuł ten prezentuje obecny wkład literatury dotyczący zagadnienia zwanego zmiennością stochastyczną (ang. stochastic volatility). W ostatnich dwóch dekadach możemy zaobserwować zainteresowanie modelami wykorzystującymi zmienność cen instrumentów finansowych do prognozowania przyszłych ich poziomów. Artykuł ten nie wyczerpuje spektrum zagadnień związanych z modelowaniem zmienności, próbuje jednak przedstawić kilka najważniejszych idei skupiając się na najprostszych formach technik oraz modelach przedstawionych w literaturze.(abstrakt oryginalny)

EN

This paper presents an introduction to the current literature on stochastic volatility models. For these models the volatility depends on some unobserved components or a latent structure. Given the time-varying volatility exhibited by most financial data, in the last two decades there has been a growing interest in time series models of changing variance and the literature on stochastic volatility models has expanded greatly.(original abstract)

Słowa kluczowe

PL

Modele stochastyczne; Analiza stochastyczna; Przegląd literatury

EN

Stochastic models; Stochastic analysis; Literature review

• Czasopismo: Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego
• Rocznik: 2006
• Numer: nr 3
• Strony: 53--61

Twórcy

autor

Janusz Kowalczyk

Bibliografia

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