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Content
2017, Volume 17
- 5-18 “Sell not only in May”. Seasonal Effects on Stock Markets
by Tomasz Schabek & Henrique Castro - 19-39 The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach
by Goksu Aslan - 41-57 Microeconometric Analysis of Telecommunication Services Market with the Use of SARIMA Models
by Pawel Kaczmarczyk - 59-80 The application of hidden Markov models to the analysis of real convergence
by Michal Bernardelli & Mariusz Prochniak & Bartosz Witkowski - 81-96 Comparison of certain dynamic estimation methods of Value at Risk on Polish gas market
by Alicja Ganczarek-Gamrot & Józef Stawicki - 97-114 Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
by Adrian Marek Burda & Blazej Mazur & Mateusz Pawel Pipien - 115-127 Determinants of Corporate Performance: Modelling Approach
by Ewa Majerowska & Magdalena Gostkowska-Drzewicka - 129-145 Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS
by Aneta Wlodarczyk - 147-159 How the Change of Governing Party Influences the Efficiency of Financial Market in Poland
by Dorota Witkowska & Krzysztof Kompa - 161-176 Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
by Barbara Bedowska-Sojka - 177-189 Business Cycles Variability in Polish Regions in the Years 2000–2016
by Rafal Warzala
2016, Volume 16
- 5-20 Quantile forecasting in operational planning and inventory management – an initial empirical verification
by Joanna Bruzda - 21-35 Volatility estimators in econometric analysis of risk transfer on capital markets
by Marcin Faldzinski & Magdalena Osinska - 37-47 Using the First Passage Times in Markov Chain model to support financial decisions on the stock exchange
by Józef Stawicki - 49-64 Determinants of Foreign Direct Investment in Developed and Emerging Markets
by Jerzy Rozanski & Pawel Sekula - 65-86 Asymmetries in the relationship between economic activity and oil prices in the selected EU countries
by Andrzej Geise & Mariola Pilatowska - 87-116 Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market
by Aneta Wlodarczyk & Iwona Otola - 117-131 Performance of pension funds and stable growth open investment funds during the changes in the Polish retirement system
by Krzysztof Kompa & Dorota Witkowska - 133-144 Dependency analysis between Bitcoin and selected global currencies
by Beata Szetela & Grzegorz Mentel & Stanislaw Gedek - 145-164 Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach
by Magdalena Osinska & Tadeusz Kufel & Marcin Blazejowski & Pawel Kufel - 165-187 The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016
by Elzbieta Szulc & Karolina Gorna & Dagna Wleklinska
2015, Volume 15
- 5-26 Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012
by Elzbieta Szulc & Dagna Wleklinska - 27-47 Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
by Lukasz Lenart - 49-69 Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
by Sabina Nowak & Joanna Olbrys - 71-87 Density forecasts based on disaggregate data: nowcasting Polish inflation
by Blazej Mazur - 89-109 The Model of French Development Assistance – Who Gets the Help?
by Katarzyna Andrzejczak & Agata Kliber - 111-128 Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach
by Sylwester Bejger - 129-156 Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts
by Ewa Ratuszny - 157-165 An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013
by Tomasz Groszkowski & Tomasz Stryjewski
2014, Volume 14
- 5-28 Does historical VIX term structure contain valuable information for predicting VIX futures?
by Juliusz Jablecki & Robert Slepaczuk & Ryszard Kokoszczynski & Pawel Sakowski & Piotr Wojcik - 29-49 Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows
by Natalia Drzewoszewska - 51-70 The Environmental Kuznets Curve in Poland - Evidence From Threshold Cointegration Analysis
by Mariola Pilatowska & Aneta Wlodarczyk & Marcin Zawada - 71-91 Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
by Andrzej Geise & Mariola Pilatowska - 93-104 The EURPLN, DAX and WIG20: the Granger causality tests before and during the crisis
by Ewa M. Syczewska - 105-124 Pension Funds in Poland: Efficiency Analysis for Years 1999-2013
by Krzysztof Kompa & Dorota Witkowska - 125-144 The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012
by Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna - 145-160 Option Pricing under Sign RCA-GARCH Models
by Joanna Górka
2013, Volume 13
- 5-32 The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession
by Malgorzata Doman & Ryszard Doman - 33-50 Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach
by Joanna Olbrys - 51-68 Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis
by Monika Papiez & Slawomir Smiech - 69-86 Determination of the Time of Contagion in Capital Markets Based on the Switching Model
by Milda Maria Burzala - 87-106 Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads
by Agata Kliber & Barbara Bedowska-Sojka - 107-126 Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
by Agnieszka Kapecka - 127-144 Analysis of ß-Convergence. From Traditional Cross-Section Model to Dynamic Panel Model
by Joanna Gorna & Karolina Gorna & Elzbieta Szulc - 145-162 Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy
by Anna Czapkiewicz & Artur Machno - 163-174 Decomposing the Gender Gap in Average Exit Rate from Unemployment
by Joanna Malgorzata Landmesser - 175-194 Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies
by Andrzej Geise & Mariola Pilatowska
2012, Volume 12
- 5-18 The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates
by Pawel Milobedzki - 19-34 Analysis of Linkages between Central and Eastern European Capital Markets
by Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica - 35-52 "Does it take volume to move fx rates?" Evidence from quantile regressions
by Katarzyna Bien-Barkowska - 53-72 Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model
by Maciej Kostrzewski - 73-88 The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model
by Milda Maria Burzala - 89-104 Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions
by Dominik Krezolek - 105-110 The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
by Joanna Górka - 111-122 The Analysis of Interregional Migrations in Polandi n the Period of 2004-2010 using Panel Gravity Model
by Michal Bernard Pietrzak & Natalia Drzewoszewska & Justyna Wilk
2011, Volume 11
- 5-20 Identification of the Structures of Spatial and Spatio-Temporal Processes and a Problem of Data Aggregation
by El¿bieta Szulc - 21-40 Information and Prediction Criteria in Selecting the Forecasting Model
by Mariola Pilatowska - 41-54 Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
by Anna Pajor - 55-72 Distribution Choice for the Asymmetric ACD Models
by Katarzyna Bien-Barkowska - 73-86 The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market
by Malgorzata Doman & Ryszard Doman - 87-98 Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
by Piotr Fiszeder - 99-110 The Impact of Macro News on Volatility of Stock Exchanges
by Barbara Bedowska-Sojka - 111-128 Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
by Agata Kliber - 129-140 On the Interpretation of Causality in Granger’s Sense
by Magdalena Osinska - 141-154 The Haar Wavelet Transfer Function Model and Its Applications
by Joanna Bruzda - 155-170 Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis
by Sylwester Bejger & Joanna Bruzda - 171-184 Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
by Pawel Kliber - 185-202 ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market
by Joanna Olbrys - 203-213 Space-Time Modelling of the Unemployment Rate in Polish Poviats
by Iwona Muller-Fraczek & Michal Bernard Pietrzak
2010, Volume 10
- 5-14 Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
by Malgorzata Doman - 15-30 European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
by Joanna Bruzda - 31-42 Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
by Ryszard Doman - 43-50 Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
by Blanka Let - 51-60 Forecasting Financial Processes by Using Diffusion Models
by Piotr Pluciennik - 61-80 The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
by Joanna Górka - 81-95 The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean
by Pawel Milobedzki - 97-106 Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
by Witold Orzeszko - 107-119 Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
by Mariola Pilatowska - 121-129 Unobserved Component Model for Forecasting Polish Inflation
by Jacek Kwiatkowski - 131-143 The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule
by Anna Michalek
2009, Volume 9
- 5-16 The Combined Forecasts Using the Akaike Weights
by Mariola Pilatowska - 17-26 Modelling of Dynamic Spatial Processes
by Elzbieta Szulc - 27-38 Econometric Tools for Detection of Collusion Equilibrium in the Industry
by Sylwester Bejger - 39-50 Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
by Joanna Górka - 51-60 Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries
by Dorota Górecka & Dominik Sliwicki - 61-72 The Synchronization of Regional Business Cycles with Nationwide Cycles
by Milda Maria Burzala - 73-80 Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
by Monika Kosko - 81-90 Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
by Anna Pajor - 91-98 Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods
by Marek Szajt - 99-110 The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland
by Aneta Wlodarczyk & Marcin Zawada - 111-118 The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models
by Tomasz Chruscinski - 119-128 Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
by Marcin Faldzinski - 128-138 Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
by Roman Huptas - 139-145 Estimating and Forecasting GDP in Poland with Dynamic Factor Model
by Jaroslaw Krajewski
2008, Volume 8
- 5-12 Financial Econometrics – 25 Years Later
by Krzysztof Jajuga - 13-20 Information Impact on Stock Price Dynamics
by Malgorzata Doman - 21-28 Modeling Conditional Dependencies between Polish Financial Returns with Markov-Switching Copula Models [pdf]
by Ryszard Doman - 29-36 The Congruence Postulate at the Early Stage of Dynamic Econometric Modeling
by Tadeusz Kufel & Pawel Kufel - 37-44 Orlen or Lotos? Which is Setting Prices at the Wholesale Market for Unleaded Petrol in Poland?
by Pawel Milobedzki - 45-52 GARCH and SV Models with Application of Extreme Value Theory
by Magdalena Osinska & Marcin Faldzinski - 53-60 The Econometric Models Satisfying the Congruence Postulate – an Overview
by Mariola Pilatowska - 61-66 On the Use of the Family of Beta Distribution in Testing Tradeoff Between Risk and Return. Bayesian Analysis for WIG Excess Returns
by Mateusz Pipien - 67-74 Markov Set-Chains as a Tool for an Analysis of Household Expenditure Structure in Poland 1993-2005
by Katarzyna Osiecka & Józef Stawicki - 75-84 Notes on a Forecasting Procedure
by Maria Blangiewicz & Krystyna Strzala - 85-94 Modelling of the Dependence Between the Space-time Processes
by Elzbieta Szulc - 95-102 Econometric Modeling of Monthly Liquidity of Small Enterprise
by Jerzy Witold Wisniewski - 103-110 Output-Capital Nexus in the Solow and Romer Growth Models. LSTR or ESTR Cointegration?
by Joanna Bruzda - 111-118 How to Increase Accuracy of Volatility Forecasts Based on GARCH Models
by Piotr Fiszeder - 119-128 Description of the Kurtosis of Distributions by Selected Models with Sign Function
by Joanna Górka - 129-138 Bayesian Analysis of Polish Inflation Rates Using RCA and GLL Models
by Jacek Kwiatkowski - 139-146 Applying the Concept of Granger Causality to Detect Nonlinear Autodependencies in Time Series
by Witold Orzeszko - 147-154 Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates
by Anna Pajor - 155-162 Modeling Financial Time Series Volatility with Markov Switching Models
by Monika Kosko & Michal Pietrzak - 163-170 Pricing of Weather Options for Berlin Quoted on the Chicago Mercantile Exchange
by Piotr Fiszeder & Juliusz Pres - 171-178 Markov-Switching Models for the Prices of Electric Energy on the Energy Stock Market in Poland
by Aneta Wlodarczyk & Marcin Zawada
2006, Volume 7
- 7-14 Interest Rate Modeling and Tools of Financial Econometrics
by Krzysztof Jajuga - 15-24 Stability of Equilibrium Point in the Case of Solow's Model
by Wladyslaw Milo & M. Malaczewski - 25-36 Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001)
by Jacek Osiewalski & Anna Pajor & Mateusz Pipien - 37-48 Forecasting on the Basis of 'Parsimonious' Hierarchical Models
by Maria Szmuksta-Zawadzka & Jan Zawadzki - 49-58 Estimating the Volatility of the Stock Index WIG20 with Weak-GARCH and Diffusion GARCH Models
by Malgorzata Doman - 59-68 Measuring Conditional Dependence of Polish Financial Returns
by Ryszard Doman - 69-82 Current Account Solvency and the Feldstein-Horioka Puzzle
by Krystyna Strzala - 83-92 Identification of Non-linearity in Economic Time Series
by Magdalena Osinska & Joanna Górka - 93-102 The Effects of the Incorrect Identification of Non-stationarity of Economic Processes for Prediction Mean Square Error
by Mariola Pilatowska - 103-112 Econometric Model of 'Promotion Bubble': identification, analysis and application
by Marcin Blazejowski - 113-124 Empirical Verification of Money Demand Models: Non-linear Cointegration Analysis
by Joanna Bruzda - 125-132 Sensitivity Model Analysis of the Floating-strike Lookback Call Option Pricing
by Ewa Dziawgo - 133-142 Modelling Financial Processes with Long Memory in Mean and Variance
by Piotr Fiszeder - 143-150 Conformable Models for GARCH Processes
by Piotr Fiszeder - 151-160 A Bayesian Estimation and Testing of STUR Models with Application to Polish Financial Time Series
by Jacek Kwiatkowski - 161-168 Application of Hazard Models to Estimation of Unemployment Duration in Germany and Poland
by Joanna M. Landmesser - 169-178 Modelling the Conditional Covariance Matrix in Stochastic Volatility Models with Applications to the Main Exchange Rates in Poland
by Anna Pajor - 179-188 The Predictive Value at Risk and Capital Requirements for Market Risk. The case of PLN/USD Exchange Rate
by Mateusz Pipien - 189-198 Properties of STUR Processes in the Framework of Chaos Theory
by Witold Orzeszko - 199-208 Specification of the Dynamic Model with the Spatial Structure of Connections
by Elzbieta Szulc - 209-220 The Phillips Method of Fractional Integration Parameter Estimation and Aggregation of PLN Exchange Rates
by Ewa M. Syczewska - 221-230 Simulative Analysis of a Company of the Basis of a Dynamic Econometric Model
by Tomasz Stryjewski - 231-238 Modeling of State Innovativeness Based on Space-time Models
by Marek Szajt - 239-248 Markov Switching Model as an Example of Non-stationarity Exchange Rate Model
by Aneta Wlodarczyk & Marcin Zawada - 249-258 Comparative Analysis of Credit Risk Change Dynamics
by Miroslaw Wójciak & Aleksandra Wójcicka - 259-268 An Application of Markov-switching Model to stock Returns Analysis
by Monika Kosko - 269-280 Imposing Economic Restrictions in a VECM-form Demand System
by Blazej Mazur - 281-288 Econometric Analysis of the Influence of Monetary Policy Instruments on the Nominal Sector of the Economy
by Elzbieta Wisniewska
2004, Volume 6
- 5-14 Application of Runs of Signs Tests in the Statistical Process Control
by Czeslaw Domanski - 15-24 Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series
by Krzysztof Jajuga - 25-36 Bayesian Comparison of Bivariate GARCH Processes in the Presence of an Exogenous Variable
by Jacek Osiewalski & Mateusz Pipien - 37-48 The Stock Market, Elliott's Waves, Cones and Cylinders
by Antoni Smoluk - 49-64 The Dynamic Econometric Model in Studying of Employment Changes in a Small Enterprise
by Jerzy Witold Wisniewski - 65-74 On Herarchic Models for Decade Data with Seasonal Fluctuations
by Maria Szmuksta-Zawadzka & Jan Zawadzki - 75-82 Kalman Filters and Specification Errors of Hyper-Structure
by Stefan Grzesiak - 83-92 General-to-Specific Modelling vs. Congruent Modelling in PcGets
by Tadeusz Kufel - 93-104 Modelling the Zloty-Euro Exchange Rate
by Kazimierz Krauze - 105-116 The TAR-GARCH Models with Application to Financial Time Series
by Magdalena Osinska & Maciej Witkowski - 117-126 Realization of the Congruence Postulate as a Method of Avoiding the Effects of a Spurious Relationship
by Mariola Pilatowska - 127-136 Risk on the Polish Energy Market
by Grazyna Trzpiot & Alicja Ganczarek - 137-146 Predictors of Non-Stationary ARIMA Processes
by Liniana Talaga - 147-158 Some Aspects of Seasonality in Co-integration Analysis
by Jerzy Romanski - 159-172 Fractional Integration Parameters Estimation for the PLN and for the Irish Pound Exchange Rates
by Ewa Marta Syczewska - 173-182 The Structure of Interdependence in Dynamic Spatial Models Remarks on Modelling and Interpretation
by Elzbieta Szulc - 183-194 Wavelet vs. Spectral Analysis of an Economic Process
by Joanna Bruzda - 195-201 Approximation of Basket Call Option Price
by Ewa Dziawgo - 203-212 Dynamic Hedging Portfolios - Application of Bivariate GARCH Models
by Piotr Fiszeder - 213-220 Heteroskedastic Cointegration
by Joanna Górka & Joanna Stempinska - 221-230 Stochastic Unit Roots Processes - Identification and Application
by Jacek Kwiatkowski & Magdalena Osinska - 231-240 How the Prediction Accuracy of Chaotic Time Series Depends on Methods of Determining the Parameters of Delay Vectors
by Witold Orzeszko - 241-246 The Analysis of the Forecast Quality Depending on the Length of Forecast Horizon
by Anna Szmit