Central European Journal of Economic Modelling and Econometrics

2009 - 2023

From Central European Journal of Economic Modelling and Econometrics
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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

Volume 4, issue 4, 2012

Cointegration Analysis in the Case of I(2) – General Overview pp. 215-252

Michał Majsterek

Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models pp. 253-267

Justyna Wróblewska

The Impact of the World Financial Crisis on the Polish Interbank Market: A Swap Spread Approach pp. 269-288

Piotr Płuciennik

Volume 4, issue 3, 2012

Using VARs and TVP-VARs with Many Macroeconomic Variables pp. 143-167

Gary Koop

Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model pp. 169-197

Krzysztof Osiewalski and Jacek Osiewalski

Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India pp. 199-213

Niyati Bhanja, Arif Dar, Aviral Tiwari and Olaolu Olayeni

Volume 4, issue 2, 2012

Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries pp. 65-93

Georgios Kouretas and Manolis Syllignakis

On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process pp. 95-116

Błażej Mazur and Mateusz Pipień

A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach pp. 117-142

Katarzyna Bień-Barkowska

Volume 4, issue 1, 2012

Crisis Resistance Versus Monetary Regime: A Polish–Slovak Counterfactual Exercise pp. 1-22

Andrzej Torój and Karolina Konopczak

Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns pp. 23-44

Jan G. Gooijer, Cees Diks and Łukasz T. Gątarek

Detecting Risk Transfer in Financial Markets using Different Risk Measures pp. 45-64

Marcin Faldzinski, Magdalena Osinska and Tomasz Zdanowicz

Volume 3, issue 4, 2011

Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market pp. 187-219

Lukasz Kwiatkowski

The Behaviour of Exchange Rates in the Central European Countries and Credit Default Risk Premiums pp. 221-236

Piotr Kębłowski

Forecasting Yield Curves in an Adaptive Framework pp. 237-259

Ying Chen and Bo Li

Volume 3, issue 3, 2011

Proximity in Coalition Building pp. 111-132

Julien Reynaud, Fabien Lange, Łukasz Gątarek and Christian Thimann

The Nexus between Improvements in Economic Freedom and Growth: Evidence from CEE Countries in Transition pp. 133-168

Henryk Gurgul and Łukasz Lach

Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models pp. 169-186

Justyna Wróblewska

Volume 3, issue 2, 2011

A Bayesian Analysis of Exogeneity in Models with Latent Variables pp. 49-73

Anna Pajor

Modelling Fuel Prices. An I(1) Analysis pp. 75-95

Katarzyna Leszkiewicz-Kędzior

Dynamic Caliper Matching pp. 97-110

Pawel Strawinski

Volume 3, issue 1, 2011

Fiscal Policies and Monetary Leadership in a Monetary Union with a Deficit-Concerned Central Bank pp. 1-24

Georgios Chortareas and Christos Mavrodimitrakis

Determinants of Involuntary Job Termination in the Polish Labor Market pp. 25-38

Krzysztof Pytka

Bayesian Variations on the Frisch and Waugh Theme pp. 39-47

Jacek Osiewalski

Volume 2, issue 4, 2010

Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models pp. 253-277

Jacek Osiewalski and Anna Pajor

Estimation Methods Comparison of SVAR Models with a Mixture of Two Normal Distributions pp. 279-314

Katarzyna Maciejowska

The Exchange Rate and Two Price Inflations in Poland in the Period 1999-2009. Do Globalization and Balassa-Samuelson Effect Matter? pp. 315-349

Robert Kelm

Volume 2, issue 3, 2010

Bireference Procedure fBIP for Interactive Multicriteria Optimization with Fuzzy Coefficients pp. 169-193

Piotr Wojewnik and Tomasz Szapiro

Volatile ARMA Modelling of GARCH Squares pp. 195-203

Anthony J. Lawrance

Rationality of Expectations: Another OCA Criterion? A DSGE Analysis pp. 205-252

Andrzej Torój

Volume 2, issue 2, 2010

Complex Dynamics in a Bertrand Duopoly Game with Heterogeneous Players pp. 95-116

Tomasz Dubiel-Teleszyński

Estimating the Baumol-Bowen and Balassa-Samuelson Effects in the Polish Economy - a Disaggregated Approach pp. 117-150

Karolina Konopczak and Andrzej Torój

Forecasting the Polish Zloty with Non-Linear Models pp. 151-167

Michał Rubaszek, Paweł Skrzypczyński and Grzegorz Koloch

Volume 2, issue 1, 2010

Tradeoff between Equity and Effciency in Revenue Sharing Contracts pp. 1-16

Bogumił Kamiński and Maciej Latek

Slowdown or Recession? Forecasts Based on Composite Leading Indicator pp. 17-36

Miroslav Klucik and Jana Juriová

Interrelations between Consumption and Wealth in Poland pp. 37-58

Magdalena Zachłod-Jelec

Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework pp. 59-94

Lukasz Kwiatkowski