Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
Journal Title: Dynamic Econometric Models - Year 2011, Vol 11, Issue 1
Abstract
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 abilities of this model for n = 2, since for bivariate data we can obtain and compare predictive distributions of the portfolio in many other multivariate SV specifications. Also, approximate posterior results in the MSF-SBEKK model (based on preliminary estimates of nuisance matrix parameters) are compared with the exact ones.
Authors and Affiliations
Anna Pajor
Keywords
Related Articles
- EP ID EP113994
- DOI -
- Views 97
- Downloads 0
The Haar Wavelet Transfer Function Model and Its Applications
In the paper the Haar wavelet transfer function models are suggested as a way to parsimoniously parametrise the impulse responses and construct models with parameters providing an insight into the frequency content of th...
The Application of Hidden Markov Models to the Analysis of Real Convergence
This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. Such an approach combines the analysis of cyclical and income-level convergence. Twelve macroeconomic variables in...
How the Change of Governing Party Influences the Efficiency of Financial Market in Poland
Financial market seems to be sensitive to political changes, especially when the change of governing party is connected with essential changes of the economic development concepts. Such situation took place in Poland in...
Econometric Tools for Detection of Collusion Equilibrium in the Industry
The article presents the notion 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 poss...
Business Cycles Variability in Polish Regions in the Years 2000–2016
The aim of this article is to study the morphology of regional business cycle in Poland. To do this, such parameters were calculated, like: cycle length, coherence ratio, standard deviation ratio, mean delay, cross-corre...