About: Study of a BVAR(p) process applied to U.S. commodity market data

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The paper presents an applied study of a multivariate AR(p) process fitted to daily data from U.S. commodity futures markets with the use of Bayesian statistics. In the first part a detailed description of the methods used is given. In the second part two BVAR models are chosen one with assumption of log-normal, the second with normal distribution of prices conditioned on the parameters. For a comparison two simple benchmark models are chosen that are commonly used in todays Financial Mathematics. The article compares the quality of predictions of all the models, tries to find an adequate rate of forgetting of information and questions the validity of Efficient Market Hypothesis in the semi-strong form. The paper presents an applied study of a multivariate AR(p) process fitted to daily data from U.S. commodity futures markets with the use of Bayesian statistics. In the first part a detailed description of the methods used is given. In the second part two BVAR models are chosen one with assumption of log-normal, the second with normal distribution of prices conditioned on the parameters. For a comparison two simple benchmark models are chosen that are commonly used in todays Financial Mathematics. The article compares the quality of predictions of all the models, tries to find an adequate rate of forgetting of information and questions the validity of Efficient Market Hypothesis in the semi-strong form. (en)
Title	Study of a BVAR(p) process applied to U.S. commodity market data Study of a BVAR(p) process applied to U.S. commodity market data (en)
skos:prefLabel	Study of a BVAR(p) process applied to U.S. commodity market data Study of a BVAR(p) process applied to U.S. commodity market data (en)
skos:notation	RIV/67985556:_____/09:00331233!RIV10-MSM-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(2C06001), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Šindelář, Jan
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	344425
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/09:00331233
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Vector Auto-regression; Forecasting; Financial; Bayesian; Efficient Markets (en)
http://linked.open.../riv/klicoveSlovo	Financial Forecasting Bayesian Efficient Markets Vector Auto-regression
http://linked.open...ontrolniKodProRIV	[75B7B00469DB]
http://linked.open...v/mistoKonaniAkce	Benátky
http://linked.open...i/riv/mistoVydani	Venice
http://linked.open...i/riv/nazevZdroje	Proceedings of World Academy of Science, Engineering and Technology, WCSET 2009
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Fully probabilistic design of adaptive decision-making strategies suitable under informationally demanding conditions
http://linked.open...UplatneniVysledku	2009
http://linked.open...iv/tvurceVysledku	Šindelář, Jan
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2009-10-28 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
issn	2070-3724
number of pages	12 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Academic Science Research
is http://linked.open...avai/riv/vysledek of	Study of a BVAR(p) process applied to U.S. commodity market data Study of a BVAR(p) process applied to U.S. commodity market data Study of a BVAR(p) process applied to U.S. commodity market data Study of a BVAR(p) process applied to U.S. commodity market data

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