Modeling of financial markets using structural equations
Fragment książki (Rozdział w książce)
| Status: | |
| Autorzy: | Majerek Dariusz, Rosa Wojciech |
| Wersja dokumentu: | Drukowana | Elektroniczna |
| Arkusze wydawnicze: | 0.6 |
| Język: | angielski |
| Strony: | 121 - 134 |
| Efekt badań statutowych | NIE |
| Materiał konferencyjny: | NIE |
| Publikacja OA: | TAK |
| Licencja: | |
| Sposób udostępnienia: | Witryna wydawcy |
| Wersja tekstu: | Ostateczna wersja opublikowana |
| Czas opublikowania: | Po opublikowaniu |
| Abstrakty: | angielski |
| The work is a kind of example of using of structural equations in economics. The article uses both confirmatory and exploratory variants of structural models. The use of this tool was dictated by the need to discover or confirm the hypothetical dependencies on the financial market. Considering the individual markets and exchange rates, we can using structural modeling indicate the strength of the interaction between those factors. Some of the models in the work does not have a counterpart in the classical statistical methods, such as regression analysis, due to the strong correlation between the explanatory variables. They were also shown structural models describing the relationship in terms of time. Database were exchange rates and stock indices traded on markets around the world in the period from 01.01.1999 to 20.10.2011. All models are characterized by a strong convergence and seem to explain actually exists dependencies on the financial markets. |
