FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making

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From University of Lodz
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Ch 7 Modeling the Realized Volatility with ARFIMA and Unobserved Component Models: Results from the Polish Financial Market , pp 121-135

Małgorzata Doman

Ch 7 How to Immunize a Defaultable Bond Portfolio? , pp 97-106

Alina Kondratiuk-Janyska and Marek Kałuszka

Ch 7 Bayesian Analysis and Forecasting of the Conditional Correlations Between Stock Index Returns with Multivariate SV Models , pp 101-121

Anna Pajor

Ch 7 The Interest Rate Pass-Through in Poland 1997–2005 , pp 111-123

Grzegorz Szafrański

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

Paweł Kliber

Ch 7 Price Inflation of Financial Goods , pp 101-117

Władysław Milo, Zuzanna Kozera, Adam Górniak, Magdalena Rutkowska and Aneta Sieradzka

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

Mateusz Pipień

Ch 7 Using Realized Volatility In Estimating Diffusion Models , pp 101-110

Piotr Płuciennik

Ch 8 High Frequency Data Aggregation in Value-at-Risk Models: Is Daily Data Enough? , pp 137-149

Milda Pranckevičiūtė

Ch 8 Risk-Return Profile of the Investors on the Polish Treasury Bond Market , pp 113-128

Marcin Stamirowski

Ch 8 Multicriterial Banking of Opened-end Pension Founds with AHP and PROMETHEE Methods , pp 119-133

Dorota Miszczyńska

Ch 8 Modelling the Time-Varying Risk Premium by Using the Kalman Filter: the Euro Money Market Case , pp 127-140

Fabio Filipozzi

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

Marcin Stamirowski

Ch 8 Forecasting Returns Using Threshold Models , pp 129-142

Monika Jeziorska-Pąpka, Magdalena Osinska and Maciej Witkowski

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

Michał Stachura

Ch 8 An Econometric Evaluation of CIP and PPP , pp 103-120

Marcin Gajewski and Jakub Kowalski

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 8 Bayesian Comparison of GARCH Processes with Asymmetric and Heavy Tailed Conditional Distributions , pp 123-140

Mateusz Pipień

Ch 8 Foreign Currency Futures and Spot Market Dynamics: Specificity and Linkages , pp 113-126

Małgorzata Doman

Ch 8 Inflation Expectations and Regime Shifts , pp 127-142

Matti Viren

Ch 8 Forecasting the Conditional Skewness and Kurtosis of the Polish Financial Returns , pp 137-151

Ryszard Doman

Ch 8 The Portfolio of Risky Investments Based on the AHP , pp 107-116

Wojciech Zatoń

Ch 9 Comparative Analysis of Polish Equity Open-end Mutual Funds' Portfolios Using Estimators of Risk Measures and Risk-Tolerance Coefficient , pp 141-154

Joanna Olbrys

Ch 9 The Slovenian Stock Market Index (SBI20 Slovenski Borzni Index) from the Aspect of Frequency Domain , pp 119-133

Aleša Lotrič Dolinar

Ch 9 The Nominal Convergence Criteria Financial Market Development and the Real Convergence , pp 135-147

Grzegorz Szafrański

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

Wiesław Dębski

Ch 9 Notes on Forecasting Nominal Equilibrium Exchange Rates of PLN Against USD , pp 145-156

Władysław Milo and Magdalena Rutkowska

Ch 9 Estimation of Steady State Equilibrium Path for Polish Economy in Years 1990–2005 , pp 143-160

Stanisław Kluza and Sebastian Stolorz

Ch 9 R&D Portfolio Selection Based on Conditional Stochastic Dominance , pp 129-139

Grażyna Trzpiot

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

Daniel Kosiorowski

Ch 9 Estimating Value-at-Risk for Energy Markets , pp 151-165

Blanka Łęt

Ch 9 A Bayesian Inference About Simple STUR Models with GARCH Errors , pp 141-152

Jacek Kwiatkowski

Ch 9 New Definition of the Average Rate of Return of a Group of Pension Funds , pp 123-135

Jacek Białek

Ch 9 Bayesian Analysis of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates , pp 127-142

Anna Pajor

Ch 9 Optimal Futures Hedging Decisions in Fractionally Cointegrated Markets , pp 155-168

Piotr Humeńczuk

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

Piotr Fiszeder

Ch 10 Quasi-Monte Carlo Method in Pricing Barrier Options , pp 169-181

Tomasz Oczadły

Ch 10 Notes on Forecasting Real Equlibrium Exchange Rates of PLN against USD , pp 143-154

Władysław Milo and Magdalena Rutkowska

Ch 10 Modeling and Forecasting the Volatility of Thin Emerging Stock Markets: The Case of Bulgaria , pp 135-146

Plamen Patev and Nigokhos Kanaryan

Ch 10 Bayesian Pricing of European Call Options on the WIG20 Index , pp 153-164

Maciej Kostrzewski

Ch 10 An Econometric Analysis of the Effectiveness of Selected Instruments used by National Bank of Poland to Reduce Money Supply in Poland , pp 149-172

Tomasz Uryszek

Ch 10 Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets , pp 155-173

Piotr Wdowiński and Marta Małecka

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

Robert Kelm

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

Joanna Olbrys

Ch 10 The Multicriterial Analysis of Mutual Funds Effectiveness in the Period of 2003-2006 with the Use of PROMETHEE and AHP Methods , pp 137-149

Nina Łapińska-Sobczak and Marta Ostapowicz

Ch 10 Immunization Conditions and Immunization Risk for a Fixed-Income Portfolio , pp 145-155

Joanna Klimkowska

Ch 10 The Co-movement Between Returns of Foreign Exchange Rates in the Central European Countries , pp 157-175

Małgorzata Doman

Ch 11 A Dynamic Analysis of Asset Portfolio , pp 173-182

Piotr Wdowiński and Daniel Wrzesiński

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

Anna Zamojska