FindEcon Monograph Series: Advances in Financial Market Analysis, vol 8

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 Volume No. 8 on “Financial Markets: Principles of Modelling, Forecasting, and Decision-Making” within a series “Advances in Financial Market Analysis” includes seventeen chapters. They cover a variety of up-to-date empirical and theoretical researches in financial markets, economics of finance, and financial econometrics. In particular, in four parts of the monograph, there are discussed issues in modelling exchange rates and stock prices, new estimation and testing methods in financial markets, analysis of financial time series and issues in monetary policy and the interbank sector. Part One is devoted to modelling exchange rates and stock prices. Part Two deals with new estimation and testing methods in financial markets. Four chapters of Part Three are devoted to univariate time-series analysis. In Part Four issues in monetary policy and the inter-bank sector are raised in four chapters. All the chapters are revised and refereed papers discussed at the international conference on Forecasting Financial Markets and Economic Decision-Making (FindEcon 2008). The conference is organized annually by the Department of Econometrics, University of Łódź, Poland since 2002. Starting from 2005 the conference monograph is published within the framework of “FindEcon Monograph Series”. All papers in this monograph were subject to the review process by independent referees. We appreciate their efforts to select the book contents. We are grateful to discussants of the FindEcon Conference for their comments as they helped to improve the final papers presented during the 2008 edition of the conference.

Keywords: Exchange rates and stock prices modelling; Estimation and testing methods in financial markets; Univariate time-series analysis; Monetary policy; Inter-bank sector (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
Edition: 1
ISBN: 978-83-7525-405-1
References: Add references at CitEc
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https://www.repec.uni.lodz.pl/RePEc/files/findec/2010/2010_No_8_Ch_0.pdf (application/pdf)
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Chapters in this book:

Ch 1 Microstructure of the EUR/PLN Market: Implications for Investors’ Behavior , pp 13-26

Radosław Cholewiński, Stanisław Kluza and Andrzej Sławiński

Ch 2 Does the Weakening of the US Dollar Change the Pattern of the Currency Co-Movement? , pp 27-41

Małgorzata Doman

Ch 3 Bayesian Comparison of Hedging Strategies for EUR/PLN Data , pp 43-56

Jacek Kwiatkowski

Ch 4 Macroeconomic Announcements and Volatility of Intraday WIG and DAX Returns , pp 57-68

Barbara Będowska-Sójka

Ch 5 Automated Stock Price Forecasting System , pp 69-79

Piotr Wdowiński

Ch 6 Modelling the Dependencies between the Returns on the Warsaw Stock Indices Using Time Varying Copulas , pp 83-97

Ryszard Doman

Ch 7 A Coordinate Free Conditional Distributions in Multivariate GARCH Models , pp 99-111

Mateusz Pipień

Ch 8 Using High Frequency Data to Testing for Jumps in Processes that Model Series from the Polish Financial Market , pp 113-128

Piotr Płuciennik

Ch 9 Deepest Regression in Robust Estimation of AR and VAR Models , pp 129-137

Daniel Kosiorowski

Ch 10 Pricing the WIG20 Index Options Using GARCH Models , pp 141-156

Piotr Fiszeder

Ch 11 Detection of Nonlinear Autodependencies Using the Hiemstra-Jones Test , pp 157-170

Witold Orzeszko

Ch 12 The Possibility of Using the M Smallest K-Simplexes Method for Forecasting Long and Intermediate Memory Time Series , pp 171-184

Jacek Szanduła

Ch 13 The Warsaw Stock Exchange Indices Analysis: Trend or Difference Stationary in Medium and Small Samples , pp 185-194

Aleksandra Matuszewska-Janica and Dorota Witkowska

Ch 14 The Term Structure of Interest Rates at the Polish Interbank Market. A VAR Approach , pp 197-208

Paweł Miłobędzki and Maria Blangiewicz

Ch 15 Heterogenous Interest Rate Pass-Through for Thailand , pp 209-224

Grzegorz Szafrański

Ch 16 Analysis and Evaluation of Mutual Funds Effectiveness Using ELECTRE Method , pp 225-236

Nina Łapińska –Sobczak and Marta Ostapowicz

Ch 17 On Performance of Immunization Strategies in Setting of US Treasury Term Structure Data , pp 237-251

Alina Kondratiuk-Janyska and Marek Kałuszka

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