Dynamic Econometric Models

2004 - 2017

Current editor(s): Mariola Pilatowska

From Uniwersytet Mikolaja Kopernika
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2006, volume 7

Interest Rate Modeling and Tools of Financial Econometrics pp. 7-14

Krzysztof Jajuga

Stability of Equilibrium Point in the Case of Solow's Model pp. 15-24

Wladyslaw Milo and Maciej Malaczewski

Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001) pp. 25-36

Jacek Osiewalski, Anna Pajor and Mateusz Pipień

Forecasting on the Basis of 'Parsimonious' Hierarchical Models pp. 37-48

Maria Szmuksta-Zawadzka and Jan Zawadzki

Estimating the Volatility of the Stock Index WIG20 with Weak-GARCH and Diffusion GARCH Models pp. 49-58

Malgorzata Doman

Measuring Conditional Dependence of Polish Financial Returns pp. 59-68

Ryszard Doman

Current Account Solvency and the Feldstein-Horioka Puzzle pp. 69-82

Krystyna Strzala

Identification of Non-linearity in Economic Time Series pp. 83-92

Magdalena Osinska and Joanna Górka

The Effects of the Incorrect Identification of Non-stationarity of Economic Processes for Prediction Mean Square Error pp. 93-102

Mariola Pilatowska

Econometric Model of 'Promotion Bubble': identification, analysis and application pp. 103-112

Marcin Blazejowski

Empirical Verification of Money Demand Models: Non-linear Cointegration Analysis pp. 113-124

Joanna Bruzda

Sensitivity Model Analysis of the Floating-strike Lookback Call Option Pricing pp. 125-132

Ewa Dziawgo

Modelling Financial Processes with Long Memory in Mean and Variance pp. 133-142

Piotr Fiszeder

Conformable Models for GARCH Processes pp. 143-150

Piotr Fiszeder

A Bayesian Estimation and Testing of STUR Models with Application to Polish Financial Time Series pp. 151-160

Jacek Kwiatkowski

Application of Hazard Models to Estimation of Unemployment Duration in Germany and Poland pp. 161-168

Joanna M. Landmesser

Modelling the Conditional Covariance Matrix in Stochastic Volatility Models with Applications to the Main Exchange Rates in Poland pp. 169-178

Anna Pajor

The Predictive Value at Risk and Capital Requirements for Market Risk. The case of PLN/USD Exchange Rate pp. 179-188

Mateusz Pipień

Properties of STUR Processes in the Framework of Chaos Theory pp. 189-198

Witold Orzeszko

Specification of the Dynamic Model with the Spatial Structure of Connections pp. 199-208

Elzbieta Szulc

The Phillips Method of Fractional Integration Parameter Estimation and Aggregation of PLN Exchange Rates pp. 209-220

Ewa Syczewska

Simulative Analysis of a Company of the Basis of a Dynamic Econometric Model pp. 221-230

Tomasz Stryjewski

Modeling of State Innovativeness Based on Space-time Models pp. 231-238

Marek Szajt

Markov Switching Model as an Example of Non-stationarity Exchange Rate Model pp. 239-248

Aneta Wlodarczyk and Marcin Zawada

Comparative Analysis of Credit Risk Change Dynamics pp. 249-258

Miroslaw Wójciak and Aleksandra Wójcicka

An Application of Markov-switching Model to stock Returns Analysis pp. 259-268

Monika Kosko

Imposing Economic Restrictions in a VECM-form Demand System pp. 269-280

Błażej Mazur

Econometric Analysis of the Influence of Monetary Policy Instruments on the Nominal Sector of the Economy pp. 281-288

Elzbieta Wisniewska

2004, volume 6

Application of Runs of Signs Tests in the Statistical Process Control pp. 5-14

Czeslaw Domanski

Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series pp. 15-24

Krzysztof Jajuga

Bayesian Comparison of Bivariate GARCH Processes in the Presence of an Exogenous Variable pp. 25-36

Jacek Osiewalski and Mateusz Pipień

The Stock Market, Elliott's Waves, Cones and Cylinders pp. 37-48

Antoni Smoluk

The Dynamic Econometric Model in Studying of Employment Changes in a Small Enterprise pp. 49-64

Jerzy Witold Wisniewski

On Herarchic Models for Decade Data with Seasonal Fluctuations pp. 65-74

Maria Szmuksta-Zawadzka and Jan Zawadzki

Kalman Filters and Specification Errors of Hyper-Structure pp. 75-82

Stefan Grzesiak

General-to-Specific Modelling vs. Congruent Modelling in PcGets pp. 83-92

Tadeusz Kufel

Modelling the Zloty-Euro Exchange Rate pp. 93-104

Kazimierz Krauze

The TAR-GARCH Models with Application to Financial Time Series pp. 105-116

Magdalena Osinska and Maciej Witkowski

Realization of the Congruence Postulate as a Method of Avoiding the Effects of a Spurious Relationship pp. 117-126

Mariola Pilatowska

Risk on the Polish Energy Market pp. 127-136

Grazyna Trzpiot and Alicja Ganczarek

Predictors of Non-Stationary ARIMA Processes pp. 137-146

Liniana Talaga

Some Aspects of Seasonality in Co-integration Analysis pp. 147-158

Jerzy Romanski

Fractional Integration Parameters Estimation for the PLN and for the Irish Pound Exchange Rates pp. 159-172

Ewa Syczewska

The Structure of Interdependence in Dynamic Spatial Models Remarks on Modelling and Interpretation pp. 173-182

Elzbieta Szulc

Wavelet vs. Spectral Analysis of an Economic Process pp. 183-194

Joanna Bruzda

Approximation of Basket Call Option Price pp. 195-201

Ewa Dziawgo

Dynamic Hedging Portfolios - Application of Bivariate GARCH Models pp. 203-212

Piotr Fiszeder

Heteroskedastic Cointegration pp. 213-220

Joanna Górka and Joanna Stempinska

Stochastic Unit Roots Processes - Identification and Application pp. 221-230

Jacek Kwiatkowski and Magdalena Osinska

How the Prediction Accuracy of Chaotic Time Series Depends on Methods of Determining the Parameters of Delay Vectors pp. 231-240

Witold Orzeszko

The Analysis of the Forecast Quality Depending on the Length of Forecast Horizon pp. 241-246

Anna Szmit