Wyniki wyszukiwania - Biblioteka Nauki

1

On the Usefulness of Financial Variables Realised Volatility for Recession Forecasting and Business Cycles Turning Points Dating

100%

Łupińśki M.

Prace i Materiały Instytutu Rozwoju Gospodarczego SGH

|

2013

|

tom 93: Expectations and Forecasting

29-44

EN

The main goal of this paper was to check usefulness of introducing measures of the financial markets risk into multivariate forecasting and business cycle dating models to improve their predictive and turning points detection power. Realised volatility was selected as market risk synthetic measure and introduced into two recession dating algorithms: Harding & Pagan (2002) mechanical procedure and Markov Switching Dynamic Factor Model (MS-DFM) with mixed frequencies and missing data handling. In the theoretical part of the article mathematical background of the realised volatility concept and MS-DFM model were presented. It was also described how the output of the MS-DFM model can be used to date turning points. This approach to local maxima detection was compared with Harding and Pagan competitor algorithm. In the practical part of the paper recession detection improvements stemming from introduction of realised volatility measures into MS-DFM model/Harding & Pagan procedure were examined for US and four Western Europe countries (Germany, France, United Kingdom and Italy) in the time span of 20 years between 1990 and 2010.

2

Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets

100%

A. Obalade A. , Muzindutsi P.-F.

Central European Management Journal

|

2019

|

tom 27(4)

71-94

EN

Findings: We found that (i) all the markets except for the Johannesburg Stock Exchange (JSE) have a higher tendency to be in bearish state than bullish state, (ii) month-of-the-year and intra-month effects appear in one regime and disappear in another regime, and (iii) the behavior of calendar Methodology: We applied two-stage Markov switching models (MSMs) instead of the conventional single state regression model. The sample period includes the daily index return of Nigerian, South African, Mauritian, Moroccan, and Tunisian stock exchanges from January 1998 to February 2018. Purpose: This paper examines the changing behavior of two calendar anomalies in African stock returns – the month-of-the-year and the intra-month effects – and their implications for the adaptive market hypothesis (AMH). anomalies is affected by market conditions and conforms to AMH rather than the efficient market hypothesis (EMH). Practical Implications: We present that (i) calendar anomaly is a characteristic that changes under different regimes or market conditions in African stock markets, (ii) active investment management may yield profits for market participants, depending on the market conditions and the anomaly in question, and (iii) the right approach would be for investors to consider each market with its own peculiarity even when they are in the same continent. Originality/Value: The sensitivity of the month-of-the-year and the intra-month effects to market conditions has not been documented in African stock markets, especially with the use of regime-switching models.

3

Wpływ szoków naftowych na asymetrię cyklu koniunkturalnego - analiza przełącznikowych modeli Markowa dla państw Unii Europejskiej

88%

Geise A.

Zeszyty Naukowe PWSZ w Płocku. Nauki Ekonomiczne

|

2015

|

tom 2(22)

411-420

EN

In the study the Markov-switching models with oil prices to analysis of business cycle asymmetries were considered. We find evidence that business cycles in 1995-2014 were asymmetric in France, Denmark, Poland, Czech Republic and European Union.

4

Can we invest on the basis of equity risk premia and risk factors from multi-factor models ?

75%

Pawel S. , Robert Ś. , Mateusz W.

Economics and Business Review

|

2016

|

tom 2(16)

|

nr 3

78-98

EN

We examine two investment algorithms built on the weekly data of world equity indices for emerging and developed countries in the period 2000-2015. We create seven risk factors using additional data about market capitalization, book value, country GDP and betas of equity indices. The first strategy utilizes the theoretical value of equity risk premium from the seven-factor Markov-switching model with exogenous variables. We compare theoretical with the realized equity risk premium for a given index to undertake the buy/sell decisions. The second algorithm works only on eight risk factors and applies them as input variables to Markowitz models with alternative optimization criteria. Finally we note that the impact of risk factors on the final results of investment strategy is much more important than the selection of a particular econometric model in order to correctly evaluate the equity risk premium.

5

Identyfikacja punktów zwrotnych kryzysu z wykorzystaniem modeli Markowa

63%

Kośko M.

Roczniki Naukowe Wyższej Szkoły Bankowej w Toruniu

|

2012

|

nr 11

119-130

EN

The article presents an example of the idea of the Markov processes (chains) to identify phases and turning points in the business cycle. With regard to the business cycle, the states of the process cycle are the phases of the cycle. On the basis of a probability value of transitions between the states, moments of the process transitions between the particular phases of the business cycle can be predicted. The Markov switching models (MS) prove to be a more complex structure based on the concept of the Markov chain model ), where a value de-termination of the states is not required because they are unobservable and esti-mated by means of the model. The paper presents the possibility of employing the Markov chains methodology, as well as of the MS models for identifying and forecasting turning points in the business cycle of the Polish economy based on GDP series

6

Kartel producentów cementu w Indiach – próba identyfikacji

51%

Bejger S.

Przegląd Statystyczny

|

2012

|

tom 59

|

nr 3

273-289

PL

Artykuł poświęcony jest problematyce obiektywnej detekcji i oceny zmów uczestników rynków oligopolistycznych. Celem szczegółowym pracy jest sprawdzenie funkcjonowania jednej z metod ekonometrycznych detekcji zmowy związanej z określonym markerem (znacznikiem) zmowy. W pracy nakreślono motywacje teoretyczną markera, opartą na właściwych modelach teorii gier oraz wykorzystano model przełącznikowy Markowa typu MS(AR)GARCH jako narzędzie statystyczne. W celu weryfikacji empirycznej wybranej metody przeprowadzono próbę detekcji faz zmowy w branży cementowej Indii w latach 1994 – 2009. W rezultacie badania udało się otrzymać obiektywne wskazania faz zmowy i konkurencji, które znajdują częściowe potwierdzenie w faktach historycznych oraz badaniu referencyjnym.

EN

The article is devoted to problem of detection of overt or tacit collusion equilibrium in the context of choice of the appropriate econometric method, which is determined by the amount of information that the observer possesses. As a particular method to be used we have chosen a collusion marker coherent with an equilibrium of the proper model of strategic interaction – the presence of structural disturbances in the price process variance for phases of collusion and competition. We than used a proper econometric tool, namely Markov Switching Model with switching in variance regimes in order to verify its functionality in a context of a research. We applied the model to cement industry of India in a period of 1994 – 2009. We have reached some promising effects in discovery of collusion and competition phases, partially confirmed by facts from functionality of the industry and by reference research.