Projects funded by the NCN
Bayesian SV Models with Markov Switching in the Analysis of Volatility on Financial Markets
2011/01/N/HS4/03105
Keywords:
stochastic volatility models Markov switching market risk analysis Bayesian inference time series analysis
Descriptors:
- HS4_3: Econometrics, statistical methods
- HS4_6: Financial markets, international finance, public finance
- ST1_16: Numerical analysis
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Uniwersytet Ekonomiczny w Krakowie, Wydział Zarządzania
woj. małopolskie
Principal investigator (from the host institution):
Number of co-investigators in the project: 2
Call: PRELUDIUM 1 - announced on 2011-03-15
Amount awarded: 41 615 PLN
Project start date (Y-m-d): 2011-12-06
Project end date (Y-m-d): 2013-06-05
Project duration:: 18 months (the same as in the proposal)
Project status: Project settled
Equipment purchased [PL]
- Word-to-LateX Home&Academic (oprogramowanie) (437 PLN)
- GAUSS 12 (Mathematical and Statistical System) (2 700 PLN)
- Microsoft Office 2010 Professional (2 000 PLN)
- Norton 360 PL Box 5.0 1user 3PC (oprogramowanie) (210 PLN)
- Notebook DELL Latitude E6520 i7-2760QM/4GB/500GB/W7P/podstawka/mysz/pad (6 864 PLN)
Information in the final report
- Publication in academic press/journals (1)
- Book publications / chapters in book publications (1)
- Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock MarketAuthors:Łukasz KwiatkowskiAcademic press:Central European Journal of Economic Modelling and Econometrics (rok: 2011, tom: 3, strony: 187-219), Wydawca: Polish Academy of Sciences - Lodz BranchStatus:PublishedDOI:brak - link to the publication
- -Authors:Łukasz KwiatkowskiBook:Bayesowskie modele SV z przełączeniami typu Markowa w analizie zmienności na rynkach finansowych (rok: 2013, tom: -, strony: 373), Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego w KrakowieStatus:Published