Dynamic Econometric Models

2004 - 2017

Current editor(s): Mariola Pilatowska

From Uniwersytet Mikolaja Kopernika
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2017, volume 17

“Sell not only in May”. Seasonal Effects on Stock Markets pp. 5-18

Tomasz Schabek and Henrique Castro

The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach pp. 19-39

Goksu Aslan

Microeconometric Analysis of Telecommunication Services Market with the Use of SARIMA Models pp. 41-57

Pawel Kaczmarczyk

The application of hidden Markov models to the analysis of real convergence pp. 59-80

Michał Bernardelli, Mariusz Prochniak and Bartosz Witkowski

Comparison of certain dynamic estimation methods of Value at Risk on Polish gas market pp. 81-96

Alicja Ganczarek-Gamrot and Józef Stawicki

Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models pp. 97-114

Adrian Marek Burda, Błażej Mazur and Mateusz Pipień

Determinants of Corporate Performance: Modelling Approach pp. 115-127

Ewa Majerowska and Magdalena Gostkowska-Drzewicka

Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS pp. 129-145

Aneta Wlodarczyk

How the Change of Governing Party Influences the Efficiency of Financial Market in Poland pp. 147-159

Dorota Witkowska and Krzysztof Kompa

Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland pp. 161-176

Barbara Będowska-Sójka

Business Cycles Variability in Polish Regions in the Years 2000–2016 pp. 177-189

Rafal Warzala

2016, volume 16

Quantile forecasting in operational planning and inventory management – an initial empirical verification pp. 5-20

Joanna Bruzda

Volatility estimators in econometric analysis of risk transfer on capital markets pp. 21-35

Marcin Faldzinski and Magdalena Osinska

Using the First Passage Times in Markov Chain model to support financial decisions on the stock exchange pp. 37-47

Józef Stawicki

Determinants of Foreign Direct Investment in Developed and Emerging Markets pp. 49-64

Jerzy Rozanski and Pawel Sekula

Asymmetries in the relationship between economic activity and oil prices in the selected EU countries pp. 65-86

Andrzej Geise and Mariola Pilatowska

Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market pp. 87-116

Aneta Wlodarczyk and Iwona Otola

Performance of pension funds and stable growth open investment funds during the changes in the Polish retirement system pp. 117-131

Krzysztof Kompa and Dorota Witkowska

Dependency analysis between Bitcoin and selected global currencies pp. 133-144

Beata Szetela, Grzegorz Mentel and Stanislaw Gedek

Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach pp. 145-164

Magdalena Osinska, Tadeusz Kufel, Marcin Błażejowski and Pawel Kufel

The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016 pp. 165-187

Elzbieta Szulc, Karolina Gorna and Dagna Wleklinska

2015, volume 15

Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012 pp. 5-26

Elzbieta Szulc and Dagna Wleklinska

Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries pp. 27-47

Łukasz Lenart

Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange pp. 49-69

Sabina Nowak and Joanna Olbrys

Density forecasts based on disaggregate data: nowcasting Polish inflation pp. 71-87

Błażej Mazur

The Model of French Development Assistance – Who Gets the Help? pp. 89-109

Katarzyna Andrzejczak and Agata Kliber

Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach pp. 111-128

Sylwester Bejger

Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts pp. 129-156

Ewa Ratuszny

An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013 pp. 157-165

Tomasz Groszkowski and Tomasz Stryjewski

2014, volume 14

Does historical VIX term structure contain valuable information for predicting VIX futures? pp. 5-28

Juliusz Jablecki, Robert Ślepaczuk, Ryszard Kokoszczyński, Pawel Sakowski and Piotr Wójcik

Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows pp. 29-49

Natalia Drzewoszewska

The Environmental Kuznets Curve in Poland - Evidence From Threshold Cointegration Analysis pp. 51-70

Mariola Pilatowska, Aneta Wlodarczyk and Marcin Zawada

Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach pp. 71-91

Andrzej Geise and Mariola Pilatowska

The EURPLN, DAX and WIG20: the Granger causality tests before and during the crisis pp. 93-104

Ewa Syczewska

Pension Funds in Poland: Efficiency Analysis for Years 1999-2013 pp. 105-124

Krzysztof Kompa and Dorota Witkowska

The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012 pp. 125-144

Elzbieta Szulc, Dagna Wleklinska, Karolina Gorna and Joanna Gorna

Option Pricing under Sign RCA-GARCH Models pp. 145-160

Joanna Górka

2013, volume 13

The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession pp. 5-32

Malgorzata Doman and Ryszard Doman

Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach pp. 33-50

Joanna Olbrys

Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis pp. 51-68

Monika Papież and Sławomir Śmiech

Determination of the Time of Contagion in Capital Markets Based on the Switching Model pp. 69-86

Milda Burzala

Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads pp. 87-106

Agata Kliber and Barbara Będowska-Sójka

Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents pp. 107-126

Agnieszka Kapecka

Analysis of ß-Convergence. From Traditional Cross-Section Model to Dynamic Panel Model pp. 127-144

Joanna Gorna, Karolina Gorna and Elzbieta Szulc

Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy pp. 145-162

Anna Czapkiewicz and Artur Machno

Decomposing the Gender Gap in Average Exit Rate from Unemployment pp. 163-174

Joanna Malgorzata Landmesser

Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies pp. 175-194

Andrzej Geise and Mariola Pilatowska

2012, volume 12

The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates pp. 5-18

Pawel Milobedzki

Analysis of Linkages between Central and Eastern European Capital Markets pp. 19-34

Dorota Witkowska, Krzysztof Kompa and Aleksandra Matuszewska-Janica

"Does it take volume to move fx rates?" Evidence from quantile regressions pp. 35-52

Katarzyna Bień-Barkowska

Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model pp. 53-72

Maciej Kostrzewski

The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model pp. 73-88

Milda Burzala

Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions pp. 89-104

Dominik Krezolek

The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes pp. 105-110

Joanna Górka

The Analysis of Interregional Migrations in Polandi n the Period of 2004-2010 using Panel Gravity Model pp. 111-122

Michal Pietrzak, Natalia Drzewoszewska and Justyna Wilk