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Dynamic Econometric Models

2004 - 2017

Current editor(s): Mariola Pilatowska

From Uniwersytet Mikolaja Kopernika
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2017, volume 17

“Sell not only in May”. Seasonal Effects on Stock Markets pp. 5-18 Downloads
Tomasz Schabek and Henrique Castro
The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach pp. 19-39 Downloads
Goksu Aslan
Microeconometric Analysis of Telecommunication Services Market with the Use of SARIMA Models pp. 41-57 Downloads
Pawel Kaczmarczyk
The application of hidden Markov models to the analysis of real convergence pp. 59-80 Downloads
Michal Bernardelli, Mariusz Prochniak and Bartosz Witkowski
Comparison of certain dynamic estimation methods of Value at Risk on Polish gas market pp. 81-96 Downloads
Alicja Ganczarek-Gamrot and Józef Stawicki
Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models pp. 97-114 Downloads
Adrian Marek Burda, Błażej Mazur and Mateusz Pipień
Determinants of Corporate Performance: Modelling Approach pp. 115-127 Downloads
Ewa Majerowska and Magdalena Gostkowska-Drzewicka
Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS pp. 129-145 Downloads
Aneta Wlodarczyk
How the Change of Governing Party Influences the Efficiency of Financial Market in Poland pp. 147-159 Downloads
Dorota Witkowska and Krzysztof Kompa
Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland pp. 161-176 Downloads
Barbara Będowska-Sójka
Business Cycles Variability in Polish Regions in the Years 2000–2016 pp. 177-189 Downloads
Rafal Warzala

2016, volume 16

Quantile forecasting in operational planning and inventory management – an initial empirical verification pp. 5-20 Downloads
Joanna Bruzda
Volatility estimators in econometric analysis of risk transfer on capital markets pp. 21-35 Downloads
Marcin Faldzinski and Magdalena Osinska
Using the First Passage Times in Markov Chain model to support financial decisions on the stock exchange pp. 37-47 Downloads
Józef Stawicki
Determinants of Foreign Direct Investment in Developed and Emerging Markets pp. 49-64 Downloads
Jerzy Rozanski and Pawel Sekula
Asymmetries in the relationship between economic activity and oil prices in the selected EU countries pp. 65-86 Downloads
Andrzej Geise and Mariola Pilatowska
Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market pp. 87-116 Downloads
Aneta Wlodarczyk and Iwona Otola
Performance of pension funds and stable growth open investment funds during the changes in the Polish retirement system pp. 117-131 Downloads
Krzysztof Kompa and Dorota Witkowska
Dependency analysis between Bitcoin and selected global currencies pp. 133-144 Downloads
Beata Szetela, Grzegorz Mentel and Stanislaw Gedek
Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach pp. 145-164 Downloads
Magdalena Osinska, Tadeusz Kufel, Marcin Błażejowski and Pawel Kufel
The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016 pp. 165-187 Downloads
Elzbieta Szulc, Karolina Gorna and Dagna Wleklinska

2015, volume 15

Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012 pp. 5-26 Downloads
Elzbieta Szulc and Dagna Wleklinska
Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries pp. 27-47 Downloads
Łukasz Lenart
Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange pp. 49-69 Downloads
Sabina Nowak and Joanna Olbrys
Density forecasts based on disaggregate data: nowcasting Polish inflation pp. 71-87 Downloads
Błażej Mazur
The Model of French Development Assistance – Who Gets the Help? pp. 89-109 Downloads
Katarzyna Andrzejczak and Agata Kliber
Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach pp. 111-128 Downloads
Sylwester Bejger
Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts pp. 129-156 Downloads
Ewa Ratuszny
An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013 pp. 157-165 Downloads
Tomasz Groszkowski and Tomasz Stryjewski

2014, volume 14

Does historical VIX term structure contain valuable information for predicting VIX futures? pp. 5-28 Downloads
Juliusz Jablecki, Robert Ślepaczuk, Ryszard Kokoszczyński, Pawel Sakowski and Piotr Wójcik
Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows pp. 29-49 Downloads
Natalia Drzewoszewska
The Environmental Kuznets Curve in Poland - Evidence From Threshold Cointegration Analysis pp. 51-70 Downloads
Mariola Pilatowska, Aneta Wlodarczyk and Marcin Zawada
Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach pp. 71-91 Downloads
Andrzej Geise and Mariola Pilatowska
The EURPLN, DAX and WIG20: the Granger causality tests before and during the crisis pp. 93-104 Downloads
Ewa Syczewska
Pension Funds in Poland: Efficiency Analysis for Years 1999-2013 pp. 105-124 Downloads
Krzysztof Kompa and Dorota Witkowska
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 pp. 125-144 Downloads
Elzbieta Szulc, Dagna Wleklinska, Karolina Gorna and Joanna Gorna
Option Pricing under Sign RCA-GARCH Models pp. 145-160 Downloads
Joanna Górka

2013, volume 13

The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession pp. 5-32 Downloads
Malgorzata Doman and Ryszard Doman
Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach pp. 33-50 Downloads
Joanna Olbrys
Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis pp. 51-68 Downloads
Monika Papież and Sławomir Śmiech
Determination of the Time of Contagion in Capital Markets Based on the Switching Model pp. 69-86 Downloads
Milda Burzala
Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads pp. 87-106 Downloads
Agata Kliber and Barbara Będowska-Sójka
Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents pp. 107-126 Downloads
Agnieszka Kapecka
Analysis of ß-Convergence. From Traditional Cross-Section Model to Dynamic Panel Model pp. 127-144 Downloads
Joanna Gorna, Karolina Gorna and Elzbieta Szulc
Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy pp. 145-162 Downloads
Anna Czapkiewicz and Artur Machno
Decomposing the Gender Gap in Average Exit Rate from Unemployment pp. 163-174 Downloads
Joanna Malgorzata Landmesser
Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies pp. 175-194 Downloads
Andrzej Geise and Mariola Pilatowska

2012, volume 12

The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates pp. 5-18 Downloads
Pawel Milobedzki
Analysis of Linkages between Central and Eastern European Capital Markets pp. 19-34 Downloads
Dorota Witkowska, Krzysztof Kompa and Aleksandra Matuszewska-Janica
"Does it take volume to move fx rates?" Evidence from quantile regressions pp. 35-52 Downloads
Katarzyna Bień-Barkowska
Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model pp. 53-72 Downloads
Maciej Kostrzewski
The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model pp. 73-88 Downloads
Milda Burzala
Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions pp. 89-104 Downloads
Dominik Krezolek
The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes pp. 105-110 Downloads
Joanna Górka
The Analysis of Interregional Migrations in Polandi n the Period of 2004-2010 using Panel Gravity Model pp. 111-122 Downloads
Michal Pietrzak, Natalia Drzewoszewska and Justyna Wilk
Page updated 2018-12-11