Central European Journal of Economic Modelling and Econometrics

2009 - 2017

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Volume 9, issue 4, 2017

Prospect Theory Versus Expected Utility Theory: Assumptions, Predictions, Intuition and Modelling of Risk Attitudes pp. 275-321

Michał Lewandowski

Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models pp. 323-357

Dobromił Serwa and Piotr Wdowiński

A Real-Business-Cycle Model with Efficiency Wages and a Government Sector: The Case of Bulgaria pp. 359-377

Aleksandar Vasilev

Volume 9, issue 3, 2017

Modelling and Forecasting WIG20 Daily Returns pp. 173-200

Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta

Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries pp. 201-241

Łukasz Lenart and Mateusz Pipień

The Effect of CAP Subsidies on the Technical Efficiency of Polish Dairy Farms pp. 243-273

Jerzy Marzec and Andrzej Pisulewski

Volume 9, issue 2, 2017

Innovativeness of Banks as a Driver of Social Welfare pp. 97-113

Beata Cialowicz and Andrzej Malawski

Foreign Direct and Portfolio Investment in the Contemporary Globalized World: Should They Be Still Treated Separately? pp. 115-135

Marcin Humanicki, Robert Kelm and Krzysztof Olszewski

Life Cycle Income and Consumption Patterns in Poland pp. 137-172

Aleksandra Kolasa

Volume 9, issue 1, 2017

The Purchasing Power Parity Puzzle and Imperfect Knowledge: The Case of the Polish Zloty pp. 1-27

Robert Kelm

Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment pp. 29-67

Łukasz Lenart

Bayesian Inference and Gibbs Sampling in Generalized True Random-Effects Models pp. 69-95

Kamil Makieła

Volume 8, issue 4, 2016

Canonical Correlation Analysis in Panel Vector Error Correction Model. Performance Comparison pp. 203-217

Piotr Kębłowski

A Bayesian Approach to Matrix Balancing: Transformation of Industry-Level Data under NACE Revision pp. 219-239

Jakub Boratyński

Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification pp. 241-271

Jacek Osiewalski and Krzysztof Osiewalski

Volume 8, issue 3, 2016

Liberalisation of International Trade – The Case of Asymmetric Countries pp. 143-160

Krzysztof Kosiec

Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices pp. 161-179

Maciej Kostrzewski

The Impact of Fiscal Reform on Indonesian Macroeconomy: A CGE Framework pp. 181-202

Herbert W. V. Hasudungan and Sulthon Sabaruddin

Volume 8, issue 2, 2016

Regional Economic Impact Assessment with Missing Input-Output Data: A Spatial Econometrics Approach for Poland pp. 61-91

Andrzej Torój

Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model pp. 93-114

Renata Wróbel-Rotter

Regional Differences in Gender Wage Gaps in Poland: New Estimates Based on Harmonized Data for Wages pp. 115-141

Aleksandra Majchrowska and Pawel Strawinski

Volume 8, issue 1, 2016

The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach pp. 1-20

Roman Huptas

Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality pp. 21-42

Damian Stelmasiak and Grzegorz Szafrański

Credit Risk of FX Loans in Poland. Debt Service Burden and the Effect of Neutralization of Currency Depreciation by Foreign Interest Rates pp. 43-59

Zuzanna Wośko

Volume 7, issue 4, 2015

Producers’ Adjustment Trajectories Resulting in Equilibrium in the Economy with Linear Consumption Sets pp. 187-204

Agnieszka Lipieta

Improving the Effectiveness of Maximum Score Estimators for Binary Regression Models pp. 205-217

Marcin Owczarczuk

A Note on Compatible Prior Distributions in Univariate Finite Mixture and Markov-Switching Models pp. 219-247

Lukasz Kwiatkowski

Volume 7, issue 3, 2015

Risk Perception and Risk Attitude on a Tax Evasion Context pp. 127-149

Nuno Trindade Magessi and Luis Antunes

Efficiency of the Reversed First-Price Sealed Bid Auctions with a Dynamic Run-Off. Results of Experiments pp. 151-167

Paweł Kuśmierczyk

Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA pp. 169-186

Łukasz Lenart and Mateusz Pipień

Volume 7, issue 2, 2015

Monotonicity of the Selling Price of Information with Risk Aversion in Two Action Decision Problems pp. 71-90

Niyazi Onur Bakir

Common Trends and Common Cycles – Bayesian Approach pp. 91-110

Justyna Wróblewska

Copula-based Stochastic Frontier Model with Autocorrelated Inefficiency pp. 111-126

Arabinda Das

Volume 7, issue 1, 2015

Modeling Nigerian Government Revenues and Total Expenditure: Combined Estimators’ Analysis and Error Correction Model Approach pp. 1-14

Kayode Ayinde, Aliyu A. Bello, Opeyemi E. Ayinde and Damilola. B. Adekanmbi

Modeling Macro-Fiscal Interlinkages: Case of Georgia pp. 15-41

Shalva Mkhatrishvili and Zviad Zedginidze

Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes pp. 43-70

Maciej Kostrzewski

Volume 6, issue 4, 2014

Tax Compliance and Public Goods Provision. An Agent-based Econophysics Approach pp. 217-236

Sascha Hokamp and Götz Seibold

Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market pp. 237-273

Roman Huptas

Autocovariance and Linear Transformations of Markov Switching VARMA Processes pp. 275-289

Maddalena Cavicchioli

Volume 6, issue 3, 2014

How Budget Deficit Impairs Long-Term Growth and Welfare under Perfect Capital Mobility pp. 129-152

Michał Konopczyński

Cyclical Processes in the Polish Economy pp. 153-192

Marta Skrzypczyńska

Bayesian Stochastic Frontier Analysis of Economic Growth and Productivity Change in the EU, USA, Japan and Switzerland pp. 193-216

Kamil Makieła

Volume 6, issue 2, 2014

Common Currency and Determinants of Government Bond Risk Premiums pp. 70-87

Grzegorz Poniatowski

Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands pp. 89-104

Anna Staszewska-Bystrova and Peter Winker

Asymmetric Price Adjustments in the Fuel Market pp. 105-127

Katarzyna Leszkiewicz-Kędzior and Aleksander Welfe

Volume 6, issue 1, 2014

Divergent Priors and Well Behaved Bayes Factors pp. 1-31

Rodney Strachan and Herman van Dijk

Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day? pp. 33-56

Małgorzata Doman and Ryszard Doman

Where do Moderation Terms Come from in Binary Choice Models? pp. 57-68

Alfredo Romero

Volume 5, issue 4, 2013

Lies, Damned Lies, and Statistics? Examples From Finance and Economics pp. 231-248

Karim M. Abadir

Macroeconomic News Effects on the Stock Markets in Intraday Data pp. 249-269

Barbara Będowska-Sójka

A Note on Lenk’s Correction of the Harmonic Mean Estimator pp. 271-275

Anna Pajor and Jacek Osiewalski

Volume 5, issue 3, 2013

Measuring Non-Performing Loans During (and After) Credit Booms pp. 163-183

Dobromił Serwa

Why Don’t Blanchard-Kahn ever "Catch" Flu? And How it Matters for Measuring Indirect Cost of Epidemics in DSGE Framework pp. 185-206

Andrzej Torój

Parametric Modelling of Income Distribution in Central and Eastern Europe pp. 207-230

Michał Brzeziński

Volume 5, issue 2, 2013

Seasonality Revisited - Statistical Testing for Almost Periodically Correlated Stochastic Processes pp. 85-102

Łukasz Lenart and Mateusz Pipień

Bank Risk-Taking in CEE Countries pp. 103-123

Georgios Kouretas and Chris Tsoumas

Influence of the Greek Crisis on the Risk Perception of European Economies pp. 125-161

Agata Kliber

Volume 5, issue 1, 2013

Risk Attitudes, Buying and Selling Price for a Lottery and Simple Strategies pp. 1-34

Michal Lewandowski

Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology pp. 35-63

Ewa Ratuszny

A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model pp. 65-83

Krzysztof Osiewalski and Jacek Osiewalski