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Volume 8
Contents:
- Krzysztof Jajuga
Financial Econometrics – 25 Years Later [pdf]
- Małgorzata Doman
Information Impact on Stock Price Dynamics [pdf]
- Ryszard Doman
Modeling Conditional Dependencies between Polish Financial Returns
with Markov-Switching Copula Models [pdf]
- Tadeusz Kufel, Paweł Kufel
The Congruence Postulate at the Early Stage of Dynamic Econometric Modeling [pdf]
- Paweł Miłobędzki
Orlen or Lotos? Which is Setting Prices at the Wholesale Market for
Unleaded Petrol in Poland? [pdf]
- Magdalena Osińska, Marcin Fałdziński
GARCH and SV Models with Application of Extreme Value Theory [pdf]
- Mariola Piłatowska
The Econometric Models Satisfying the Congruence Postulate
– an Overview [pdf]
- Mateusz Pipień
On the Use of the Family of Beta Distribution in Testing Tradeoff
Between Risk and Return. Bayesian Analysis for WIG Excess Returns [pdf]
- Katarzyna Osiecka, Józef Stawicki
Markov Set-Chains as a Tool for an Analysis of Household
Expenditure Structure in Poland 1993-2005 [pdf]
- Maria Blangiewicz, Krystyna Strzała
Notes on a Forecasting Procedure [pdf]
- Elżbieta Szulc
Modelling of the Dependence Between the Space-time Processes[pdf]
- Jerzy Witold Wiśniewski
Econometric Modeling of Monthly Liquidity of Small Enterprise [pdf]
- Joanna Bruzda
Output-Capital Nexus in the Solow and Romer Growth Models.
LSTR or ESTR Cointegration? [pdf]
- Piotr Fiszeder
How to Increase Accuracy of Volatility Forecasts Based on
GARCH Models [pdf]
- Joanna Górka
Description of the Kurtosis of Distributions by Selected Models
with Sign Function [pdf]
- Jacek Kwiatkowski
Bayesian Analysis of Polish Inflation Rates Using RCA and GLL
Models [pdf]
- Witold Orzeszko
Applying the Concept of Granger Causality to Detect Nonlinear Autodependencies in Time Series [pdf]
- Anna Pajor
Bayesian Forecasting of the Discounted Payoff of Options on WIG20
Index under Stochastic Volatility and Stochastic Interest Rates [pdf]
- Monika Kośko, Michał Pietrzak
Modeling Financial Time Series Volatility with Markov
Switching Models [pdf]
- Piotr Fiszeder, Juliusz Preś
Pricing of Weather Options for Berlin Quoted on the Chicago
Mercantile Exchange [pdf]
- Aneta Włodarczyk, Marcin Zawada
Markov-Switching Models for the Prices of Electric Energy on
the Energy Stock Market in Poland [pdf]
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