Dynamic Econometric Models

2004 - 2017

Current editor(s): Mariola Pilatowska

From Uniwersytet Mikolaja Kopernika
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2011, volume 11

Identification of the Structures of Spatial and Spatio-Temporal Processes and a Problem of Data Aggregation pp. 5-20

El¿bieta Szulc

Information and Prediction Criteria in Selecting the Forecasting Model pp. 21-40

Mariola Pilatowska

Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model pp. 41-54

Anna Pajor

Distribution Choice for the Asymmetric ACD Models pp. 55-72

Katarzyna Bień-Barkowska

The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market pp. 73-86

Malgorzata Doman and Ryszard Doman

Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices pp. 87-98

Piotr Fiszeder

The Impact of Macro News on Volatility of Stock Exchanges pp. 99-110

Barbara Będowska-Sójka

Sovereign CDS Instruments in Central Europe – Linkages and Interdependence pp. 111-128

Agata Kliber

On the Interpretation of Causality in Granger’s Sense pp. 129-140

Magdalena Osinska

The Haar Wavelet Transfer Function Model and Its Applications pp. 141-154

Joanna Bruzda

Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis pp. 155-170

Sylwester Bejger and Joanna Bruzda

Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market pp. 171-184

Pawel Kliber

ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market pp. 185-202

Joanna Olbrys

Space-Time Modelling of the Unemployment Rate in Polish Poviats pp. 203-213

Iwona Muller-Fraczek and Michal Pietrzak

2010, volume 10

Liquidity and Market Microstructure Noise: Evidence from the Pekao Data pp. 5-14

Malgorzata Doman

European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis pp. 15-30

Joanna Bruzda

Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction pp. 31-42

Ryszard Doman

Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis pp. 43-50

Blanka Łęt

Forecasting Financial Processes by Using Diffusion Models pp. 51-60

Piotr Pluciennik

The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures pp. 61-80

Joanna Górka

The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean pp. 81-95

Pawel Milobedzki

Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient pp. 97-106

Witold Orzeszko

Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error pp. 107-119

Mariola Pilatowska

Unobserved Component Model for Forecasting Polish Inflation pp. 121-129

Jacek Kwiatkowski

The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule pp. 131-143

Anna Michalek

2009, volume 9

The Combined Forecasts Using the Akaike Weights pp. 5-16

Mariola Pilatowska

Modelling of Dynamic Spatial Processes pp. 17-26

Elzbieta Szulc

Econometric Tools for Detection of Collusion Equilibrium in the Industry pp. 27-38

Sylwester Bejger

Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures pp. 39-50

Joanna Górka

Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries pp. 51-60

Dorota Górecka and Dominik Sliwicki

The Synchronization of Regional Business Cycles with Nationwide Cycles pp. 61-72

Milda Burzala

Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets pp. 73-80

Monika Kosko

Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models pp. 81-90

Anna Pajor

Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods pp. 91-98

Marek Szajt

The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland pp. 99-110

Aneta Wlodarczyk and Marcin Zawada

The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models pp. 111-118

Tomasz Chruscinski

Application of Modified POT Method with Volatility Model for Estimation of Risk Measures pp. 119-128

Marcin Faldzinski

Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification pp. 128-138

Roman Huptas

Estimating and Forecasting GDP in Poland with Dynamic Factor Model pp. 139-145

Jaroslaw Krajewski

2008, volume 8

Financial Econometrics – 25 Years Later pp. 5-12

Krzysztof Jajuga

Information Impact on Stock Price Dynamics pp. 13-20

Malgorzata Doman

Modeling Conditional Dependencies between Polish Financial Returns with Markov-Switching Copula Models [pdf] pp. 21-28

Ryszard Doman

The Congruence Postulate at the Early Stage of Dynamic Econometric Modeling pp. 29-36

Tadeusz Kufel and Pawel Kufel

Orlen or Lotos? Which is Setting Prices at the Wholesale Market for Unleaded Petrol in Poland? pp. 37-44

Pawel Milobedzki

GARCH and SV Models with Application of Extreme Value Theory pp. 45-52

Magdalena Osinska and Marcin Faldzinski

The Econometric Models Satisfying the Congruence Postulate – an Overview pp. 53-60

Mariola Pilatowska

On the Use of the Family of Beta Distribution in Testing Tradeoff Between Risk and Return. Bayesian Analysis for WIG Excess Returns pp. 61-66

Mateusz Pipień

Markov Set-Chains as a Tool for an Analysis of Household Expenditure Structure in Poland 1993-2005 pp. 67-74

Katarzyna Osiecka and Józef Stawicki

Notes on a Forecasting Procedure pp. 75-84

Maria Blangiewicz and Krystyna Strzala

Modelling of the Dependence Between the Space-time Processes pp. 85-94

Elzbieta Szulc

Econometric Modeling of Monthly Liquidity of Small Enterprise pp. 95-102

Jerzy Witold Wisniewski

Output-Capital Nexus in the Solow and Romer Growth Models. LSTR or ESTR Cointegration? pp. 103-110

Joanna Bruzda

How to Increase Accuracy of Volatility Forecasts Based on GARCH Models pp. 111-118

Piotr Fiszeder

Description of the Kurtosis of Distributions by Selected Models with Sign Function pp. 119-128

Joanna Górka

Bayesian Analysis of Polish Inflation Rates Using RCA and GLL Models pp. 129-138

Jacek Kwiatkowski

Applying the Concept of Granger Causality to Detect Nonlinear Autodependencies in Time Series pp. 139-146

Witold Orzeszko

Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates pp. 147-154

Anna Pajor

Modeling Financial Time Series Volatility with Markov Switching Models pp. 155-162

Monika Kosko and Michal Pietrzak

Pricing of Weather Options for Berlin Quoted on the Chicago Mercantile Exchange pp. 163-170

Piotr Fiszeder and Juliusz Pres

Markov-Switching Models for the Prices of Electric Energy on the Energy Stock Market in Poland pp. 171-178

Aneta Wlodarczyk and Marcin Zawada