FindEcon Monograph Series: Advances in Financial Market Analysis, vol 5

Edited by Władysław Milo (), Piotr Wdowiński () and Grzegorz Szafrański ()

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

Abstract: The chapters included in this monograph cover a wide range of current interests in the theory of financial markets, economics of finance, financial econometrics, and their applications. In particular, the topics concern modeling and forecasting financial markets from micro- and macroeconomic perspective. The texts were preceded by the papers of the annual international conference Forecasting Financial Markets and Economic Decision-Making FindEcon"2006, the conference, first being held in 2002, and organized by the Department of Econometrics of the University of Łódź, Poland. This monograph is published within the framework of ‘FindEcon Monograph Series" on ‘Advances in Financial Market Analysis" under the title ‘Financial Markets: Principles of Modelling, Forecasting, and Decision-Making." The English version of ‘FindEcon Monograph Series" was initiated in 2005. This monograph consists of four parts. Part One presents issues connected with empirical tests of financial hypotheses and theories. Part Two presents five studies on modelling interest rates. Part Three is focused on the empirical questions of mutual investing in the Polish market and on some theoretical aspects of portfolio selection. Part Four is about interesting application of new financial models. The papers included in this book were selected by the conference Programme Committee and reviewed by independent referees. We appreciate their efforts and would like to thank them for their support. We are grateful to all contributors to this book as this is a selection of insightful studies on modeling and fore-casting financial markets. The Editors do not accept the responsibility for possible not corrected, by authors, language flaws or essential shortcomings.

Keywords: Stock market modelling; Bonds; Term structure of interest rates; Investment funds; Portfolio selection; Applied financial modelling (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
Edition: 1
ISBN: 978-83-7525-200-2
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https://www.repec.uni.lodz.pl/RePEc/files/findec/2007/2007_No_5_Ch_0.pdf (application/pdf)
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Chapters in this book:

Ch 1 Testing the Arbitrage Pricing Model with a Factor Garch Model for the Polish Stock Market , pp 11-24

Piotr Fiszeder

Ch 2 The Profitability of Simple Trading Strategies Exploiting the Forward Premium Bias in Foreign Exchange Markets and the Time Premium in Yield Curves , pp 25-44

Andres Vesilind

Ch 3 The Market Ratios on Polish Capital Market – Application to Portfolio Analysis , pp 45-55

Waldemar Tarczyński and Małgorzata Łuniewska

Ch 4 Examination of the Term Structure of Interest Rates in Poland – Linear and Non-Linear Cointegration Analysis , pp 59-78

Joanna Bruzda, Dorota Górecka and Tomasz Koźliński

Ch 5 Utility Function Approach in the Context of Immunization , pp 79-91

Alina Kondratiuk-Janyska and Marek Kałuszka

Ch 6 Properties of the Duration Vector in the Polish and German Bonds’ Markets , pp 93-106

Agata Kliber

Ch 7 Bond’s Duration in Single-Factor Models for Short Rate , pp 107-118

Paweł Kliber

Ch 8 The Polish Term Structure Versus Its Core Market Counterparts – A Comparative Analysis , pp 119-131

Marcin Stamirowski

Ch 9 Pension Funds as a Factor Stimulating Development of the Capital Market in Poland , pp 135-147

Wiesław Dębski

Ch 10 Decomposing Value-at-Risk: The Case of a Fund of Funds Portfolio , pp 149-161

Joanna Olbrys

Ch 11 An Analysis of Distributions of Rates of Return for Investment Funds , pp 163-173

Anna Zamojska

Ch 12 Automatic Trading Agent. RMT based Portfolio Selection–Theoretical Aspects , pp 175-189

Małgorzata Snarska

Ch 13 Improving Portfolio Efficiency by Including Index Options. Empirical Examples Using Wig20 Index Options , pp 191-201

Mateusz Knop and Nina Łapińska-Sobczak

Ch 14 Investigation of the Wave Nature of the Ukrainian Stock Market , pp 205-225

Olena Rayevnyeva and Kostyantyn Stryzhychenko

Ch 15 One Factor Risk Model and Capital Requirements for Credit Risk in the New Capital Accord , pp 227-240

Adam Frok

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Persistent link: https://EconPapers.repec.org/RePEc:ann:findeb:book:y:2007:n:05:mon

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