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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F09%3A00331233" target="_blank" >RIV/67985556:_____/09:00331233 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Study of a BVAR(p) process applied to U.S. commodity market data
Original language 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.
Czech name
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Czech description
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Project
<a href="/en/project/2C06001" target="_blank" >2C06001: Fully probabilistic design of adaptive decision-making strategies suitable under informationally demanding conditions</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of World Academy of Science, Engineering and Technology, WCSET 2009
ISBN
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ISSN
2070-3724
e-ISSN
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Number of pages
12
Pages from-to
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Publisher name
Academic Science Research
Place of publication
Venice
Event location
Benátky
Event date
Oct 28, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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