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Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model

Pajor, Anna - In: Dynamic Econometric Models 11 (2011), pp. 41-54

The aim of this paper is to investigate the predictive properties of the MSF-Scalar BEKK(1,1) model in context of portfolio optimization. The MSF-SBEKK model has been proposed as a feasible tool for analyzing multidimensional financial data (large n), but this research examines forecasting...

Persistent link: https://www.econbiz.de/10010610418

Modelling the Conditional Covariance Matrix in Stochastic Volatility Models with Applications to the Main Exchange Rates in Poland

Pajor, Anna - In: Dynamic Econometric Models 7 (2006), pp. 169-178

Persistent link: https://www.econbiz.de/10009001661

Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001)

Osiewalski, Jacek; Pajor, Anna; Pipien, Mateusz - In: Dynamic Econometric Models 7 (2006), pp. 25-36

Persistent link: https://www.econbiz.de/10009001724

Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates

Pajor, Anna - In: Dynamic Econometric Models 8 (2008), pp. 147-154

Persistent link: https://www.econbiz.de/10009001736

Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models

Pajor, Anna - In: Dynamic Econometric Models 9 (2009), pp. 81-90

In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (l). Using daily data (quotations of stock indices), we show that in the Stochastic Volatility...

Persistent link: https://www.econbiz.de/10009001743