Working Papers

From Faculty of Economic Sciences, University of Warsaw
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2021-12: Don’t Worry, Be Happy – But Only Seasonally: Mateusz Kijewski, Szymon Lis, Michał Woźniak and Maciej Wysocki
2021-11: Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts: Szymon Lis and Marcin Chlebus
2021-10: HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation: Michał Woźniak and Marcin Chlebus
2021-09: Are Transboundary Nature Protected Areas International Public Goods and Why People Think They Are (Not)? Hybrid Modelling Evidence from the EU Outer Borders: Sviataslau Valasiuk, Mikolaj Czajkowski, Marek Giergiczny, Tomasz Zylicz, Knut Veisten, Iratxe Mata, Askill Halse and Per Angelstam
2021-08: GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks: Mateusz Buczyński and Marcin Chlebus
2021-07: Persuasive messages will not raise COVID-19 vaccine acceptance. Evidence from a nation-wide online experiment: Raman Kachurka, Michał Krawczyk and Joanna Rachubik
2021-06: Institutional Framework of Central Bank Independence: Revisited: Jacek Lewkowicz, Michał Woźniak and Michał Wrzesiński
2021-05: The Application of Machine Learning Algorithms for Spatial Analysis: Predicting of Real Estate Prices in Warsaw: Dawid Siwicki
2021-04: Concept of peer-to-peer lending and application of machine learning in credit scoring: Aleksy Klimowicz and Krzysztof Spirzewski
2021-03: Intergenerational redistributive effects of monetary policy: Marcin Bielecki, Michal Brzoza-Brzezina and Marcin Kolasa
2021-02: The effects of child benefit on household saving: Barbara Liberda, Katarzyna Sałach-Dróżdż and Marek Pęczkowski
2021-01: Causes of the spatially uneven outflow of Warsaw inhabitants to the city’s suburbs: an economic analysis of the problem: Honorata Bogusz
2020-42: Does Bitcoin Improve Investment Portfolio Efficiency?: Pawel Sakowski and Daria Turovtseva
2020-41: Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework: Pawel Sakowski and Anna Turovtseva
2020-40: Honey, Mugs and Caricatures: anchors on prices of consumer goods only hold hypothetically: Magdalena Brzozowicz and Michał Krawczyk
2020-39: Applying Hurst Exponent in Pair Trading Strategies: Quynh Bui and Robert Ślepaczuk
2020-38: We have just explained real convergence factors using machine learning: Piotr Wójcik and Bartłomiej Wieczorek
2020-37: Predicting well-being based on features visible from space – the case of Warsaw: Krystian Andruszek and Piotr Wójcik
2020-36: Home advantage revisited. Did COVID level the playing fields?: Michał Krawczyk and Pawel Strawinski
2020-35: The impact of the results of football matches on the stock prices of soccer clubs: Robert Ślepaczuk and Igor Wabik
2020-34: What factors determine unequal suburbanisation? New evidence from Warsaw, Poland: Honorata Bogusz, Szymon Winnicki and Piotr Wójcik
2020-33: The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approach: Ewelina Osowska and Piotr Wójcik
2020-32: Fractional differentiation and its use in machine learning: Janusz Gajda and Rafał Walasek
2020-31: Variance Gamma Model in Hedging Vanilla and Exotic Options: Bartłomiej Bollin and Robert Ślepaczuk
2020-30: Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model: Mateusz Heba and Marcin Chlebus
2020-29: Lottery "strategies": monetizing players' behavioral biases: Raman Kachurka and Michał Wiktor Krawczyk
2020-28: Value-at-risk — the comparison of state-of-the-art models on various assets: Karol Kielak and Robert Ślepaczuk
2020-27: Predicting prices of S&P500 index using classical methods and recurrent neural networks: Mateusz Kijewski and Robert Ślepaczuk
2020-26: Predicting uptake of a malignant catarrhal fever vaccine by pastoralists in northern Tanzania: opportunities for improving livelihoods and ecosystem health: Catherine Decker, Nick Hanley, Mikolaj Czajkowski, Thomas Morrison, Julius Keyyu, Linus Munishi, Felix Lankester and Sarah Cleaveland
2020-25: Energy demand management and social norms – the case study in Poland: Bernadeta Gołębiowska, Anna Bartczak and Mikolaj Czajkowski
2020-24: Demographics and the natural interest rate in the euro area: Marcin Bielecki, Michal Brzoza-Brzezina and Marcin Kolasa
2020-23: Are Poles stuck in overeducation? Individual dynamics of educational mismatch in Poland: Jan Aleksander Baran
2020-22: Nvidia’s stock returns prediction using machine learning techniques for time series forecasting problem: Marcin Chlebus, Michał Dyczko and Michał Woźniak
2020-21: HRP performance comparison in portfolio optimization under various codependence and distance metrics: Illya Barziy and Marcin Chlebus
2020-20: Ex-ante and ex-post measures to mitigate hypothetical bias. Are they alternative or complementary tools to increase the reliability and validity of DCE estimates?: Sergio Colombo, Wiktor Budzinski, Mikolaj Czajkowski and Klaus Glenk
2020-19: Artificial Neural Networks Performance in WIG20 Index Options Pricing: Maciej Wysocki and Robert Ślepaczuk
2020-18: Towards better understanding of complex machine learning models using Explainable Artificial Intelligence (XAI) - case of Credit Scoring modelling: Marta Kłosok and Marcin Chlebus
2020-17: Political connections and the super-rich in Poland: Katarzyna Sałach-Dróżdż and Michał Brzeziński
2020-16: So close and so far. Finding similar tendencies in econometrics and machine learning papers. Topic models comparison: Marcin Chlebus and Maciej Świtała
2020-15: Comparison of tree-based models performance in prediction of marketing campaign results using Explainable Artificial Intelligence tools: Marcin Chlebus and Zuzanna Osika
2020-14: Why wealth inequality differs between post-socialist countries?: Michał Brzeziński and Katarzyna Sałach-Dróżdż
2020-13: Dealing with uncertainties of green supplier selection: a fuzzy approach: Hayk Manucharyan
2020-12: How do managers actually choose suppliers? Evidence from revealed preference data: Hayk Manucharyan
2020-11: Supplier selection in emerging market economies: a discrete choice analysis: Hayk Manucharyan
2020-10: Investing in VIX futures based on rolling GARCH models forecasts: Oleh Bilyk, Pawel Sakowski and Robert Ślepaczuk
2020-09: Size does matter. A study on the required window size for optimal quality market risk models: Mateusz Buczyński and Marcin Chlebus
2020-08: Novel multilayer stacking framework with weighted ensemble approach for multiclass credit scoring problem application: Marek Stelmach and Marcin Chlebus
2020-07: Price Transmission across Commodity Markets: Physical to Futures: Gilbert Mbara
2020-05: Payment and policy consequentiality in dichotomous choice contingent valuation: Experimental design effects on self-reported perceptions: Tobias Börger, Tenaw Abate, Margrethe Aanesen and Ewa Zawojska
2020-05: Preferences for demand side management—a review of choice experiment studies: Bernadeta Gołębiowska

Working Papers

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