Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, vol 177

Edited by Władysław Milo () and Piotr Wdowiński ()

in FindEcon Books: Forecasting Financial Markets and Economic Decision-Making from University of Lodz, currently edited by Piotr Wdowiński

Abstract: FindEcon conference papers.

Keywords: Financial markets; Financial econometrics; Stock market modeling and forecasting; Interest rates; Exchange rates; Bayesian analysis; Portfolio selection (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2004
Edition: 1
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Downloads: (external link)
https://dspace.uni.lodz.pl/xmlui/handle/11089/7159 (application/pdf)

Chapters in this book:

Ch 1 Ranking of Opened-end Pension Funds (OPF) - Forecasts for 2004-2005 , pp 5-21

Dorota Miszczyńska

Ch 2 Risk Factors of Capital Market in Poland , pp 23-41

Piotr Wdowiński and Daniel Wrzesiński

Ch 3 Development of Life and Non-Life Insurance in Poland in the Years 1990-2000 as an Element of the Capital Market , pp 43-53

Stanisław Wieteska

Ch 4 On the Risk of Currency Crisis , pp 57-78

Władysław Milo and Zuzanna Kozera

Ch 5 Non-Linear Integration and Cointegration. Testing an Example of Verification of the PPP Hypothesis , pp 79-94

Joanna Bruzda

Ch 6 The Use of Yield Spread in Economy Activity and Inflation Process Research , pp 95-108

Jarosław Janecki

Ch 7 Real Exchange Rate Analysis , pp 109-121

Władysław Milo and Daniel Wrzesiński

Ch 8 Wavelet Methods for Detecting Long-Run Dependence of Stock Indexes and Exchange Rates , pp 123-133

Michał Stachura

Ch 9 The Arbitrage at the Interest Rate Market (the Example of the FRA and the Bond Markets) , pp 137-152

Stanisław Kluza and Andrzej Sławiński

Ch 10 Empirical Model of the Exchange Rate Policy in Poland 1995-2002 , pp 153-167

Robert Kelm

Ch 11 Classical, Fundamental and Horizontally Diversified Portfolios - a Comparative Aanalysis , pp 171-189

Waldemar Tarczyński and Małgorzata Łuniewska

Ch 12 On Duration-Dispersion Strategies for Portfolio Immunization , pp 191-202

Marek Kałuszka and Alina Kondratiuk-Janyska

Ch 13 Dynamic Asset Allocation - Markowitz Model , pp 203-215

Piotr Fiszeder

Ch 14 Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries , pp 219-238

Jacek Osiewalski and Mateusz Pipień

Ch 15 Liquidity Analysis of Stocks in WARSET - Time , pp 239-254

Przemysław Garsztka, Przemysław Matuszewski and Karol Wieloch

Ch 16 One-Factor Interest Rate Models - Evaluation of Usefulness for Pricing and Analysis of Investors' Expectations , pp 255-271

Marcin Stamirowski

Ch 17 Analytical Methods for Multivariate alfa-Stable Distributions Using Spherical Harmonics , pp 275-290

Marek Łażewski and Krzysztof Zator

Ch 18 Forecasting Polish Stock Indices Volatility Using GARCH Models and High Frequency Data , pp 291-309

Małgorzata Doman

Ch 19 Application of High-Frequency Data in Forecasting Polish Stock Indices by Means of Stochastic Volatility Models , pp 311-328

Ryszard Doman

Ch 20 Application of a Local Polynomial Approximation Chaotic Time Series Prediction , pp 331-346

Witold Orzeszko

Ch 21 DEA Analysis of the Polish Stock Market , pp 347-360

Grzegorz Szafrański

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Persistent link: https://EconPapers.repec.org/RePEc:ann:findeb:book:y:2004:n:177:foe

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