# bib

id: dem-1055
author: Górka, Joanna
title: The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
date: 2012-12-09
pages: 6
extension: .pdf
mime: application/pdf
words: 2659
sentence: 177
flesch: 89
cache: cache/dem-1055.pdf
txt: txt/dem-1055.txt
summary:
  The example concerns the sign-switching GARCH(1,1,1) model with normal distribution, i.e. 2 2 2 1 1 1 1 1 1. t t t t t t t y y s σ ε σ ω α β σ− i i dε , 0 0 0i jω α β> , ≥ , ≥ , l ωΦ ≤ ,∑ 1 for 0 0 for 0 1 for 0 t t t t y s y y >  =


id: dem-11737
author: Stawicki, Józef
date: 2016-12-28
pages: 12
extension: .pdf
mime: application/pdf
words: 2896
sentence: 128
flesch: 62
cache: cache/dem-11737.pdf
txt: txt/dem-11737.txt
title:
  Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange

summary:
  Another very important stage in the construction of Markov Chain model is the choice of an estimation method. Using the First Passage Times in Markov Chain Model... DYNAMIC ECONOMETRIC MODELS 16 (2016) 37–47 45 4. Determination of VaR using Markov Chain Quantification of risk usually occurs by determining the measure known as VaR. There are many ways of determining the value at risk depending on the model which is used by analysts or investors.


id: dem-1087
author: Müller-Frączek, Iwona; Bernard Pietrzak, Michał
title: Space-Time Modelling of the Unemployment Rate in Polish Poviats
date: 2011-12-10
pages: 12
extension: .pdf
mime: application/pdf
words: 4154
sentence: 167
flesch: 54
cache: cache/dem-1087.pdf
txt: txt/dem-1087.txt
summary:
  K e y w o r d s: spatial econometrics, spatial model, space-time model. Within the first approach, a static one, spatial models of the unemployment rate in subsequent years were estimat- ed.


id: dem-1064
author: Będowska-Sójka, Barbara
title: The Impact of Macro News on Volatility of Stock Exchanges
date: 2011-12-10
pages: 12
extension: .pdf
mime: application/pdf
words: 4368
sentence: 228
flesch: 59
cache: cache/dem-1064.pdf
txt: txt/dem-1064.txt
summary:
  What is characteristic for the shapes of averages of absolute returns for European stock markets is a sharp increase in volatility at the time of American macroeconomic announcements at 14:30 and 16:00 (Będowska- Sójka, 2010, Harju, Hussein, 2011). The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility.


id: dem-1066
author: Osińska, Magdalena
title: On the Interpretation of Causality in Granger’s Sense
date: 2011-12-10
pages: 12
extension: .pdf
mime: application/pdf
words: 4577
sentence: 223
flesch: 59
cache: cache/dem-1066.pdf
txt: txt/dem-1066.txt
summary:
  K e y w o r d s: Granger causality, systematic causality, informational causality, nonlinear cau- sality. We call Granger causality defined for linear representation of time series ‘the systematic Granger causality’ because it refers to such cases.


id: dem-1063
author: Fiszeder, Piotr
date: 2011-12-10
pages: 12
extension: .pdf
mime: application/pdf
words: 4360
sentence: 173
flesch: 45
cache: cache/dem-1063.pdf
txt: txt/dem-1063.txt
title:
  Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices

summary:
  The literature on the application of GARCH models in construction of portfolios is poor, and the results of such analyses, due to the complexity of the problem, are still fragmentary. Among the few investigations in which multivariate GARCH models were ap- plied for large portfolios the following papers can be mentioned: Engle, Shep- pard (2001), Engle, Colacito (2006), Osiewalski, Pajor (2010).


id: dem-1058
author: Piłatowska, Mariola
title: Information and Prediction Criteria in Selecting the Forecasting Model
date: 2011-12-10
pages: 20
extension: .pdf
mime: application/pdf
words: 4933
sentence: 166
flesch: 48
cache: cache/dem-1058.pdf
txt: txt/dem-1058.txt
summary:
  Results of model selection for IP in Poland using information (AIC, BIC) and prediction criteria (APE_SE, APE_AE) Pairs of models Selection criteria Version I Version II n=40 n=60 n=80 n=40 n=60 n=80 ARIMA vs. AR AIC AR AR AR AR AR AR BIC AR AR AR AR AR AR APE_SE ARIMA ARIMA AR ARIMA ARIMA AR APE_AE ARIMA AR ARIMA ARIMA ARIMA AR ARIMA vs. RW AIC ARIMA ARIMA ARIMA ARIMA ARIMA ARIMA BIC ARIMA ARIMA ARIMA RW RW ARIMA APE_SE ARIMA ARIMA ARIMA ARIMA ARIMA ARIMA APE_AE ARIMA ARIMA ARIMA ARIMA ARIMA ARIMA AR vs. RW AIC AR AR AR AR AR AR BIC AR AR AR RW RW AR APE_SE AR AR AR RW AR AR APE_AE AR AR AR AR AR AR Out-of-sample evaluation of IP forecasts (i.e. in the period 2011:01−2011:06) has been realized by the measures of accuracy (MSE, RMSE, U, MAPE) − see Table 5 and 6. For the window of 60 and 80 observations the ARIMA model and AR model give the smallest prediction errors.


id: dem-1076
author: Kliber, Paweł
title: Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
date: 2011-12-10
pages: 14
extension: .pdf
mime: application/pdf
words: 4779
sentence: 268
flesch: 66
cache: cache/dem-1076.pdf
txt: txt/dem-1076.txt
summary:
  The logarithms of the prices are described by Lévy process L and thus the logarith- mic returns are increments of Lévy process. We use Blumenthal-Getoor index β for Lévy processes as a measure of jumps’ activity.


id: dem-1056
author: Pietrzak, Michał Bernard; Drzewoszewska, Natalia; Wilk, Justyna
date: 2012-12-09
pages: 12
extension: .pdf
mime: application/pdf
words: 4782
sentence: 209
flesch: 39
cache: cache/dem-1056.pdf
txt: txt/dem-1056.txt
title:
  The Analysis of Interregional Migrations in Poland in the Period 2004–2010 Using Panel Gravity Model

summary:
  The objective is to evaluate the intensity and direction of selected economic variables impact on the volume of interregional migration flows in Poland in the period 2004–2010. For this reason it is of crucial importance to re- search conditions responsible for interregional migration flows.


id: dem-1054
author: Krężołek, Dominik
date: 2012-12-09
pages: 16
extension: .pdf
mime: application/pdf
words: 4992
sentence: 288
flesch: 56
cache: cache/dem-1054.pdf
txt: txt/dem-1054.txt
title:
  Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions

summary:
  It was assumed that the log-returns of presented assets belong to the family of stable distributions. The results confirm the validity of the use of stable distributions to asses the risk on the precious non-ferrous metals market.


id: dem-11745
author: Szetela, Beata; Mentel, Grzegorz; Gędek, Stanisław
title: Dependency Analysis between Bitcoin and Selected Global Currencies
date: 2016-12-29
pages: 12
extension: .pdf
mime: application/pdf
words: 4585
sentence: 218
flesch: 53
cache: cache/dem-11745.pdf
txt: txt/dem-11745.txt
summary:
  The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while ARMA analysis have shown no relations between bitcoin and other depend- ent variables. ISSN (online) 2450-7067 Accepted December 20, 2016 ISSN (print) 1234-3862 Beata Szetela, Grzegorz Mentel, Stanisław Gędek * Dependency Analysis between Bitcoin and Selected Global Currencies A b s t r a c t. In this research we have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well.


id: dem-1067
author: Bruzda, Joanna
title: The Haar Wavelet Transfer Function Model and Its Applications
date: 2011-12-10
pages: 14
extension: .pdf
mime: application/pdf
words: 5154
sentence: 215
flesch: 65
cache: cache/dem-1067.pdf
txt: txt/dem-1067.txt
summary:
  ) 2 ( ) ( ) , K K K K K X X X j X X j j K K X K X K j j j j j j j                                                                                                    4 2 41 3,7, 8 )(1 ) , (1 )(1 )(1 ) .t t tL X W L L L X     The so-called sequency ordering instead of the natural ordering is applied to the coefficients above, i.e. the index n is associated with the frequency interval        11 2 1 , 2 jj nn .


id: dem-1062
author: Doman, Małgorzata; Doman, Ryszard
title: The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market
date: 2011-12-10
pages: 14
extension: .pdf
mime: application/pdf
words: 5054
sentence: 242
flesch: 59
cache: cache/dem-1062.pdf
txt: txt/dem-1062.txt
summary:
  Dynamic copula correlations from DCC-t-copula models The estimates of dynamic copula correlations obtained for the pair DAX- WIG20 are presented in Figure 3. Dynamic copula correlations from DCC-t-copula model Figure 2. S&P500 and WIG20.


id: dem-11731
author: Schabek, Tomasz; Castro, Henrique
title: “Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
date: 2016-12-28
pages: 14
extension: .pdf
mime: application/pdf
words: 5292
sentence: 244
flesch: 58
cache: cache/dem-11731.pdf
txt: txt/dem-11731.txt
summary:
  We also used the proxy of stock market sentiment for other mar- kets – Consumer Confidence Indicator, delivered by OECD. Our tests imitate strategy that could be utilized by investors on stock markets.


id: dem-11743
author: Kompa, Krzysztof; Witkowska, Dorota
date: 2016-12-29
pages: 16
extension: .pdf
mime: application/pdf
words: 5747
sentence: 229
flesch: 57
cache: cache/dem-11743.pdf
txt: txt/dem-11743.txt
title:
  Performance of Pension Funds and Stable Growth Open Investment Funds During the Changes in the Polish Retirement System

summary:
  The first essential manipulation in the original pension reform was made in 2011 when the contribution to pension funds was diminished from 7.3% to 2.3%. The third significant modification took place in 2014 and changed the character of pension funds which have been no longer obligatory.


id: dem-1057
author: Szulc, Elżbieta
date: 2011-12-10
pages: 16
extension: .pdf
mime: application/pdf
words: 5883
sentence: 233
flesch: 52
cache: cache/dem-1057.pdf
txt: txt/dem-1057.txt
title:
  Identification of the Structures of Spatial and Spatio- Temporal Processes and a Problem of Data Aggregation

summary:
  Characteristics of quasi-congruent models for poviats – variant I Full model:          ttXtXtYtpptY ,,,,, 00120101100000 ppWppWp   Parameters Estimates of parameters Standard deviations Statistics z Pr(>|z|) 000 100 010 001   7.6305 -0.1892 0.3472 -0.3433 -0.9315 -0.0332 0.6915 0.0652 0.0664 0.0665 0.0504 0.1085 11.0347 -2.9025 5.2255 -5.1612 -18.4788 -0.3060 0.0000 0.0037 0.0000 0.0000 0.0000 0.7596  = 0.6872 Test LR: 967.48; p-value: 0.0000 Wald statistic: 1409.3; p-value: 0.0000 AIC: 13592 (AIC for lm: 14557) Characteristics of quasi-congruent models for sub-regions – variant I Full model:          ttXtXtYtpptY ,,,,, 00120101100000 ppWppWp   Parameters Estimates of parameters Standard deviations Statistics z Pr(>|z|) 000 100 010 001   17.2312 -0.0459 0.0482 -0.5223 -1.6817 -0.6643


id: dem-11736
author: Fałdziński, Marcin; Osińska, Magdalena
title: Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets
date: 2016-12-28
pages: 16
extension: .pdf
mime: application/pdf
words: 5823
sentence: 264
flesch: 64
cache: cache/dem-11736.pdf
txt: txt/dem-11736.txt
summary:
  The Methodology In our previous research (Fałdziński et al., 2012, Osińska et al. 2012) we applied Granger causality in risk definition that was formulated by Hong Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets DYNAMIC ECONOMETRIC MODELS 16 (2016) 21–35 23 (2001) and testing idea that was derived by Hong (2001) and further modi- fied by Hong et al. (2009). Yang and Zhang (2000) (YZ) 2 2 2 (1 ) YZ overnight volatility open to close RS k k       Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets DYNAMIC ECONOMETRIC MODELS 16 (2016) 21–35 25 0,34 1 1,34 1 k N N     , 2 2 1 1 ln ln 1 N


id: dem-1065
author: Kliber, Agata
title: Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
date: 2011-12-10
pages: 18
extension: .pdf
mime: application/pdf
words: 6139
sentence: 309
flesch: 64
cache: cache/dem-1065.pdf
txt: txt/dem-1065.txt
summary:
  Based upon the estimated VAR model we can conclude that the price of Czech CDS depended on the past values of itself and Hungarian CDS price. It is worth noting that the second pick of volatility was much smaller in the case of Czech CDS price than the one observed for Polish and Hungarian CDS price.


id: dem-1068
author: Bejger, Sylwester; Bruzda, Joanna
title: Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis
date: 2011-12-10
pages: 16
extension: .pdf
mime: application/pdf
words: 6125
sentence: 188
flesch: 48
cache: cache/dem-1068.pdf
txt: txt/dem-1068.txt
summary:
  In the estimation of wavelet variance and wavelet correlation in practice, DWT is replaced by its modification in the form of MODWT (maximal overlap discrete wavelet transform)4, which does not require handling long ranges being 3 Rolling wavelet variances with with 95-percent confidence intervals – Haar wavelet, window length 30 20 4 0 60 0 0.


id: dem-1049
author: Blangiewicz, Maria; Miłobędzki, Paweł
title: The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates
date: 2012-12-09
pages: 14
extension: .pdf
mime: application/pdf
words: 6341
sentence: 275
flesch: 67
cache: cache/dem-1049.pdf
txt: txt/dem-1049.txt
summary:
  EH of the Term Structure of Interest Rates and Its Implications The EH of the term structure of interest rates may be formally stated as: ( ) ( ) ( ) ( ) ( )1 1 1 1ln ln n n n n t t t t t t t t t t t


id: dem-11738
author: Różański, Jerzy; Sekuła, Paweł
title: Determinants of Foreign Direct Investment in Developed and Emerging Markets
date: 2016-12-28
pages: 16
extension: .pdf
mime: application/pdf
words: 6190
sentence: 291
flesch: 50
cache: cache/dem-11738.pdf
txt: txt/dem-11738.txt
summary:
  ISSN (online) 2450-7067 Accepted December 17, 2016 ISSN (print) 1234-3862 Jerzy Różański, Paweł Sekuła * Determinants of Foreign Direct Investment in Developed and Emerging Markets A b s t r a c t. We analyzed FDI determinants for 26 developed economies and 25 emerging markets. Lucas (1993) analysed FDI determinants for countries of East and Southeast Asia.


id: dem-1053
author: Burzała, Milda Maria
title: The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model
date: 2012-12-09
pages: 16
extension: .pdf
mime: application/pdf
words: 6260
sentence: 272
flesch: 55
cache: cache/dem-1053.pdf
txt: txt/dem-1053.txt
summary:
  K e y w o r d s: switching model, logit model, dating of economic activity phases, probability of recession. Section 1 presents the dating method of economic activity phases, which allows to deter- mine the moments of switching between the phases of high and low economic activity.


id: dem-1050
author: Witkowska, Dorota; Kompa, Krzysztof; Matuszewska-Janica, Aleksandra
title: Analysis of Linkages between Central and Eastern European Capital Markets
date: 2012-12-09
pages: 16
extension: .pdf
mime: application/pdf
words: 6450
sentence: 250
flesch: 58
cache: cache/dem-1050.pdf
txt: txt/dem-1050.txt
summary:
  Hamao, Y., Masulis, R. W., Ng, V. (1990), Correlations in Price Changes and Volatility Across International Stock Markets, Review of Financial Studies, 3, 281–307. Hanousek J., Kočenda E. (2009), Intraday Price Discovery in Emerging European Stock Markets, GERGE-EI Working Paper Series 382, http://www.cerge-ei.cz/pdf/wp/Wp382.pdf (17.10.2011). Siklos, P.L., Ng, P. (2001), Integration among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts, Pacific Economic Review, 6, 89–110.


id: dem-1052
author: Kostrzewski, Maciej
title: Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model
date: 2012-12-09
pages: 20
extension: .pdf
mime: application/pdf
words: 6478
sentence: 333
flesch: 63
cache: cache/dem-1052.pdf
txt: txt/dem-1052.txt
summary:
  Therefore, and on a more statistical note, estimators of JD(M)J model parameters could be treated as approximations of the Merton model parameters. In incomplete markets replication strategies may not exist and pricing of derivatives is not an easy task.


id: dem-1051
author: Bień-Barkowska, Katarzyna
title: “Does It Take Volume to Move the EUR/PLN FX Rates?” Evidence from Quantile Regressions
date: 2012-12-09
pages: 18
extension: .pdf
mime: application/pdf
words: 7029
sentence: 280
flesch: 50
cache: cache/dem-1051.pdf
txt: txt/dem-1051.txt
summary:
  This study investigates the impact of trading volume on selected quantiles of the EUR/PLN return distribution. Positive contemporaneous correlation between trading volume and price volatility is already a well-documented ob- servation with early studies on the topic traced back to the seventies.


id: dem-11744
author: Osińska, Magdalena; Kufel, Tadeusz; Błażejowski, Marcin; Kufel, Paweł
title: Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach
date: 2016-12-29
pages: 20
extension: .pdf
mime: application/pdf
words: 6926
sentence: 300
flesch: 57
cache: cache/dem-11744.pdf
txt: txt/dem-11744.txt
summary:
  K e y w o r d s: business cycle, central and eastern economies, threshold models, forecasting, bootstrap J E L Classification: C24, C53, E32. S ł o w a k l u c z o w e: cykl koniunkturalny, business cycle, central and eastern economies, threshold models, forecasting, bootstrap.


id: dem-1059
author: Pajor, Anna
title: Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
date: 2011-12-10
pages: 14
extension: .pdf
mime: application/pdf
words: 6691
sentence: 292
flesch: 71
cache: cache/dem-1059.pdf
txt: txt/dem-1059.txt
summary:
  If we assume that there are no transaction costs and the investor uses the median of the predictive distribu- tion of TsTMVRp |, *  w (denoted by op TsTMVRp w |,1,*  ) to construct optimal portfolio, then the investor’s wealth at time T+s is given by: -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 20 07 -0 7- 02 20 07 -0 W artykule dokonane zosta- ło porównanie prognoz uzyskanych w dwuwymiarowym modelu MSF-SBEKK oraz w innych modelach z klasy MSV na przykładzie portfela walutowego, złożonego z kursu dolara amerykań- skiego oraz euro.


id: dem-1060
author: Bień-Barkowska, Katarzyna
title: Distribution Choice for the Asymmetric ACD Models
date: 2011-12-10
pages: 18
extension: .pdf
mime: application/pdf
words: 8132
sentence: 534
flesch: 75
cache: cache/dem-1060.pdf
txt: txt/dem-1060.txt
summary:
  Accordingly, the conditional bivariate density of the pair { , }i ix y is given as:   ( ) 1 1 , , , , 1 , , , ( , | ) = exp( ) 1 ( , ) ( )(1 ( , ) exp( ) 1 ( , ( )(1 ( , ) a i a a a a a a a a a a b i b b b b b b b b b GG i i i I a x x                                (12) Distribution Choice for the Asymmetric ACD Models 61     , ( 1) 2 2 1 2 2 ( ) ln ln ln ln 1 1 ln 1 , b b b b i


id: dem-11740
author: Geise, Andrzej; Piłatowska, Mariola
date: 2016-12-29
pages: 22
extension: .pdf
mime: application/pdf
words: 8252
sentence: 410
flesch: 63
cache: cache/dem-11740.pdf
txt: txt/dem-11740.txt
title:
  Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries

summary:
  The relationship between production, inflation and oil prices are analyzed in the presence of structural break when both, the change in intercept and the change in the slope of the trend function exist. Threshold ECMs show the asymmetric response of production and inflation to the changes in oil prices in the case of Germany, France, Poland and the EU.


id: dem-1080
author: Olbryś, Joanna
date: 2011-12-10
pages: 18
extension: .pdf
mime: application/pdf
words: 8182
sentence: 352
flesch: 66
cache: cache/dem-1080.pdf
txt: txt/dem-1080.txt
title:
  ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market

summary:
  Note: Table 4a is based on the samples P1– P4 and Table 4b is based on the samples P5– P8 (Table 1); T-M (2) is the classical Treynor-Mazuy model with the lagged excess return on market portfolio M as additional factor; H-M (3) is the classical Henriksson-Merton model with the lagged excess return on market portfolio M as additional factor; LM is the Engle (1982) statistic at the lag q, which should be distributed as chi-squared; LB is the Ljung-Box (1978) statistic at the lag q, which should be distributed as chi-squared; + denotes that statistic value is larger than the critical table value of chi-squared and gives evidence of the presence of ARCH effect; – denotes that statistic value is smaller than the critical table value of chi-squared. The ARCH effect in market-timing models (2) and (3) of Polish equity mutual funds in the entire sample P1 (period from Jan 2, 2003 to June 30, 2011) Equity fund (short name) T-M model H-M model LM p-value LB p-value LM p-value LB p-value 1 Arka 326.8 110-68 157.6 410-30 346.9 710-73 159.5 210-30 2 Aviva 257.1 110-53 299.9 410-60 258.3 910-54 306.7 110-61 3 BPH 424.6 110-89 434.2 910-89 427.0 410-90 436.5 210-89 4 ING 443.9 110-93 442.4 110-90 445.2 510-94 444.5 510-91 5 Investor 25 404.4 310-85 145.1 210-27 390.4 310-82 142.1 810-27 6 Investor ADS 524.4 410-111 474.7 110-97 531.8 110-112 475.1 110-97 7 Investor 460.3 210-97 498.0 110-102 459.4 410-97 497.2 210-102 8 Legg Mason 402.1 110-84 333.1 310-67 408.6 410-86 334.2 210-67 9 Millennium 437.6 210-92 371.2 210-75 439.8 710-93 374.7 410-76 10 Novo 622.2 310-132 489.3 110-100 609.5 110-129 485.7 810-100 11 Pioneer 423.7 210-89 372.1 110-75 426.6 510-90 374.4 510-76 12 PKO 485.9 810-103 379.1 510-77 477.1 710-101 379.0 510-77 13 PZU 402.0 110-84 387.0 110-78 404.9 210-85 391.8 110-79 14 Skarbiec 384.4 610-81 427.0 310-87 385.5 410-81 426.7 310-87 15 UniKorona 371.4 410-78 519.3 510-107 376.8 210-79 519.7 410-107 Note: The table is based on the entire sample P1; T-M (2) is the classical Treynor-Mazuy model with the lagged excess return on market portfolio M as additional factor; H-M (3) is the classical Henriksson-Merton model with the lagged excess return on market portfolio M as additional factor; LM is the Engle (1982) statistic at the lag equal to five, which should be distributed as chi-squared; LB is the Ljung-Box (1978) statistic at the lag equal to eight, which should be distributed as chi-squared.


id: dem-11733
author: Bruzda, Joanna
date: 2016-12-28
pages: 16
extension: .pdf
mime: application/pdf
words: 9275
sentence: 154
flesch: 36
cache: cache/dem-11733.pdf
txt: txt/dem-11733.txt
title:
  Quantile Forecasting in Operational Planning and Inventory Management – an Initial Empirical Verification

summary:
  K e y w o r d s: LINLIN loss, quantile forecasting, quantile regression, re-order point, theta method. Quantile Forecasting in Operational Planning and Inventory Management There are numerous procedures of computing quantile forecasts, encom- passing parametric, semiparametric and nonparametric methods, approaches utilizing ex ante and ex post forecast errors, and non-simulation- and simula- tion-based (bootstrap and parametric Monte Carlo) procedures.


id: dem-11741
author: Włodarczyk, Aneta; Otola, Iwona
date: 2016-12-29
pages: 30
extension: .pdf
mime: application/pdf
words: 11015
sentence: 441
flesch: 43
cache: cache/dem-11741.pdf
txt: txt/dem-11741.txt
title:
  Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market

summary:
  5 It is worth underlining that for both the construction and IT sectors there were no rea- sons for changing the basic specification of firm volatility models to Exponential GARCH model, which enables capturing the asymmetric effect of negative and positive shocks for conditional variance (results of Sign Bias tests). Conducted empirical studies have not shown that the negative shocks flowing from the American stock market through investors' behavior channel contributed to the increase in the fraction of firms of the construc- tion and IT sectors listed on the WSE whose volatility is shaped by market volatility.


id: dem-14658
author: Kaczmarczyk, Paweł
title: Microeconometric Analysis of Telecommunication Services Market with the use of SARIMA Models
date: 2017-12-07
pages: 17
extension: .pdf
mime: application/pdf
words: 4934
sentence: 260
flesch: 46
cache: cache/dem-14658.pdf
txt: txt/dem-14658.txt
summary:
  41–57 45 included in regression model). The residuals of SARIMA (1,0,3)(1,0,4)24 The analysis of obtained values of Q Box and Ljung coefficients and also partial correlation coefficients (Figure 8) indicate that they are much lower than the values of these coefficients, which were calculated in the analysis of regression model residuals (Figure 5).


id: dem-15805
author: Witkowska, Dorota; Kompa, Krzysztof
title: How the Change of Governing Party Influences the Efficiency of Financial Market in Poland
date: 2017-12-28
pages: 13
extension: .pdf
mime: application/pdf
words: 4609
sentence: 170
flesch: 50
cache: cache/dem-15805.pdf
txt: txt/dem-15805.txt
summary:
  Jensen alpha Fund or index Periods before rounds of presidential election 1st round 2nd round 1st round 2nd round 1st round 2nd round 1st round 2nd round CA 0.00392 –0.00015 0.00004 0.00000 0.00004 0.00000 0.00001 0.00001 PZU –0.05050 –0.05011 –0.00044 –0.00043 –0.00047 –0.00046 –0.00018 –0.00017 PIO –0.05753 –0.05635 –0.00049 –0.00048 –0.00051 –0.00049 –0.00019 –0.00017 NN –0.03614 –0.03591 –0.00031 –0.00031 –0.00033 –0.00032 –0.00010 –0.00009 KBC –0.00056 –0.00459 –0.00001 –0.00004 –0.00001 –0.00004 0.00000 –0.00001 WIG –0.00173 –0.00372 –0.00001 –0.00003 –0.00001 –0.00003 x x Periods after rounds of presidential election CA –0.03148 –0.02775 –0.00038 –0.00034 –0.00045 –0.00040 –0.00002 –0.00001 PZU –0.04315 –0.04270 –0.00049 –0.00048 –0.00053 –0.00053 –0.00006 –0.00006 PIO –0.06353 –0.06314 –0.00066 –0.00066 –0.00071 –0.00071 –0.00037 –0.00012 NN –0.03399 –0.03284 –0.00035 –0.00034 –0.00038 –0.00037 –0.00004 –0.00001 KBC –0.04069 –0.03642 –0.00048 –0.00043 –0.00053 –0.00048 –0.00019 –0.00005 WIG –0.03399 –0.02817 –0.00034 –0.00028 –0.00034 –0.00028 x x Note: Bold letters denote that Sharpe and Treynor ratios evaluated for mutual funds are bigger than the ones calculated for WIG and Jensen ratios are statistically significant. Analyzing returns from both markets in distinguished 12 periods of con- sideration, one may notice (Table 2) that only Treasury Bonds generated significantly positive rates of return in the periods before both rounds of presidential election and in the whole analyzed period.


id: dem-15776
author: Upadhyaya, Kamal P; Nag, Raja; Mixon, Jr., Franklin G
title: Stock Market Prices and the Macroeconomics of Emerging Economies: the Case of India
date: 2018-09-07
pages: 13
extension: .pdf
mime: application/pdf
words: 5226
sentence: 208
flesch: 49
cache: cache/dem-15776.pdf
txt: txt/dem-15776.txt
summary:
  The empirical results suggest that, in the long run, output growth and the exchange rate are positively related to stock prices, while money supply ex- hibits a negative relationship to stock market prices. The empirical findings suggest that, in the long run, stock market prices in India are positively related to output growth, while money supply growth seems to be negatively related to stock prices.


id: dem-14839
author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
title: Determinants of Corporate Performance: Modelling Approach
date: 2017-12-29
pages: 13
extension: .pdf
mime: application/pdf
words: 5213
sentence: 284
flesch: 56
cache: cache/dem-14839.pdf
txt: txt/dem-14839.txt
summary:
  Estimated models of ROE for all companies and small companies did not point out any statistically significant relationships between explanatory and explained variables. ISSN (online) 2450-7067 Accepted December 28, 2017 ISSN (print) 1234-3862 Ewa Majerowska, Magdalena Gostkowska-Drzewicka * Determinants of Corporate Performance:


id: dem-15617
author: Warżała, Rafał
title: Business Cycles Variability in Polish Regions in the Years 2000 – 2016
date: 2017-12-28
pages: 13
extension: .pdf
mime: application/pdf
words: 5074
sentence: 235
flesch: 51
cache: cache/dem-15617.pdf
txt: txt/dem-15617.txt
summary:
  The aim of this article is to study the morphology of regional business cycle in Poland. Regional business cycles convergence is also critical for proper Europe- an monetary union functioning.


id: dem-14954
author: Ganczarek-Gamrot, Alicja; Stawicki, Józef
title: Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
date: 2017-12-21
pages: 16
extension: .pdf
mime: application/pdf
words: 4880
sentence: 166
flesch: 58
cache: cache/dem-14954.pdf
txt: txt/dem-14954.txt
summary:
  At present, in empirical financial studies of time series, which in most cases behave as non-stationary stochas- tic processes, VaR estimation uses dynamic methods based on GARCH models of conditional variance (Piontek, 2002; Doman, Doman. 2009; Fiszeder, 2009; Trzpiot, 2010; Pajor, 2010; Ganczarek-Gamrot, 2006). Tt tt I  1 )(         )(0 )(1 )(    ttt ttt t VaRzdla VaRzdla I , (17) where: T – length of time series, ttz  – the stochastic process ttZ  .


id: dem-15481
author: Włodarczyk, Aneta
title: Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS
date: 2017-12-29
pages: 17
extension: .pdf
mime: application/pdf
words: 6073
sentence: 208
flesch: 43
cache: cache/dem-15481.pdf
txt: txt/dem-15481.txt
summary:
  It also allows diversi- fication of the adopted by aircraft operators strategies of securing themselves against the risk of CO2 emission allowances price depending on the price volatility regime in force. As a result, Markov-switching dynamic regression models with N- regimes (MS(N)-DR(p)) have been used to describe the different dynamism of the EUAAs returns series, generated by changing risk factors on the mar- ket of CO2 emission allowances (Hamilton, 1990; Doornik, 2013): )),(,0(~ ,)(...)()()( 2 t 22110 t tpttptttttt sN RsRsRssR     (7) where: i(st) – the parameter describing the influence of delayed by i-periods EUAA returns per the current returns (i=1,2,…,p), t – the error term, )( 2 ts - residual variance dependent on the valid at the given moment re- gime, st – non-observable variable modelled as homogeneous Markov chain of N regimes and the transition probabilities matrix   }1,...,1,0{,|   Njiji pP .


id: dem-15819
author: Będowska-Sójka, Barbara
title: Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
date: 2017-12-28
pages: 16
extension: .pdf
mime: application/pdf
words: 6090
sentence: 267
flesch: 55
cache: cache/dem-15819.pdf
txt: txt/dem-15819.txt
summary:
  169 We also calculate correlation coefficients for different beta estimates across the sample and find that these correlations are positive, medium strong and statistically significant. We find that beta estimates from Kalman filter together with beta estimates from DCC models have the highest accuracy.


id: dem-14899
author: Burda, Adrian Marek; Mazur, Błażej; Pipień, Mateusz Paweł
title: Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
date: 2017-12-29
pages: 18
extension: .pdf
mime: application/pdf
words: 6403
sentence: 275
flesch: 52
cache: cache/dem-14899.pdf
txt: txt/dem-14899.txt
summary:
  Empirical testing of existence of the strict PPP and law of the one price is based on assumptions that market works perfectly and any deviations from 1 Alternatively, PPP models could be distinguished between satisfying and non-satisfying the long-term homogeneity restriction. Table 4 presents RMSE relative to RW for a group of unrestricted specifications, while Table 5 shows results for models with strong PPP restriction imposed.


id: dem-4187
author: Doman, Małgorzata
title: Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
date: 2010-07-16
pages: 10
extension: .pdf
mime: application/pdf
words: 3280
sentence: 146
flesch: 61
cache: cache/dem-4187.pdf
txt: txt/dem-4187.txt
summary:
  if ,)()( 1 2 →→ ∫ − hduuhRV t t t σ (5) It means that in absence of market microstructure noise the realized variance is a consistent estimator of the integrated variance. Moreover, we try to discover the dependencies be- Małgorzata Doman 8 tween liquidity and microstructure noise by modeling dependence of the later on a variety of liquidity measures.


id: dem-13561
author: Aslan, Goksu
title: The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach
date: 2017-10-02
pages: 21
extension: .pdf
mime: application/pdf
words: 8083
sentence: 369
flesch: 50
cache: cache/dem-13561.pdf
txt: txt/dem-13561.txt
summary:
  Introduction The effects of income inequality and redistribution are complex and con- troversial. Income inequality may affect economic growth both negatively and positively.


id: dem-2903
author: Landmesser, Joanna Małgorzata
title: Decomposing the Gender Gap in Average Exit Rate from Unemployment
date: 2013-12-12
pages: 12
extension: .pdf
mime: application/pdf
words: 4538
sentence: 227
flesch: 54
cache: cache/dem-2903.pdf
txt: txt/dem-2903.txt
summary:
  The next step was to estimate two Weibull hazard models for time spent in unemployment state for men and women separately (the estimation results are presented in Table 3, part (B) and (C)). Different opportunities are mainly due to prejudices associated with the woman's age Decomposing the Gender Gap in Average Exit Rate from Unemployment DYNAMIC ECONOMETRIC MODELS 13 (2013) 163–174 173 (generally it is believed that younger women are less involved in work for family reasons) and her education level.


id: dem-30524
author: Witkowska, Dorota; Kuźnik, Piotr
title: Does fundamental strength of the company influence its investment performance?
date: 2019-12-28
pages: 13
extension: .pdf
mime: application/pdf
words: 4550
sentence: 187
flesch: 49
cache: cache/dem-30524.pdf
txt: txt/dem-30524.txt
summary:
  There have been many attempts to construct taxonomic measures which have been used: (1) to evaluate the state of enterprises, e.g. Kompa (2019), (2) to select companies for the investment portfolio construction, e.g. Staszak (2017), (3) to find relation between financial condition of companies and their performance, e.g. Juszczyk (2015). In the third stage, the hypothesis that fundamental strength of companies influences their investment performance is verified applying regression functions.


id: dem-27776
author: Devkota, Mitra Lal
title: Impact of Export and Import on Economic Growth: Time Series Evidence from India
date: 2019-12-28
pages: 12
extension: .pdf
mime: application/pdf
words: 4814
sentence: 280
flesch: 58
cache: cache/dem-27776.pdf
txt: txt/dem-27776.txt
summary:
  Guntukula (2018) investigated the relationships between export, import, and economic growth in India using monthly time series data from April 2005 to March 2017. Finally, we study the direction of causality and model the short and long run causal relationships between the variables by using Granger causality test under vector error correction model (VECM) frame- work.


id: dem-15326
author: Bernardelli, Michal; Próchniak, Mariusz; Witkowski, Bartosz
title: The Application of Hidden Markov Models to the Analysis of Real Convergence
date: 2017-12-22
pages: 22
extension: .pdf
mime: application/pdf
words: 9647
sentence: 373
flesch: 61
cache: cache/dem-15326.pdf
txt: txt/dem-15326.txt
summary:
  This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. The results indicate, among others, the existence of real convergence of Poland toward the remaining EU countries in terms of the levels of GDP per capita at PPP and GDP growth rates, with a short-run period of divergence during the global crisis.


id: dem-4192
author: Łęt, Blanka
title: Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
date: 2010-07-17
pages: 8
extension: .pdf
mime: application/pdf
words: 2300
sentence: 133
flesch: 63
cache: cache/dem-4192.pdf
txt: txt/dem-4192.txt
summary:
  1. Introduction General Motors, Ford and Chrysler, known as the Detroit’s Big Three, are the major companies of American automotive industry. General Motors, Ford and Chrysler face such problems for several years.


id: dem-2901
author: Górna, Joanna; Górna, Karolina; Szulc, Elżbieta
title: Analysis of β-Convergence. From Traditional Cross-Section Model to Dynamic Panel Model
date: 2013-12-12
pages: 18
extension: .pdf
mime: application/pdf
words: 5331
sentence: 223
flesch: 52
cache: cache/dem-2901.pdf
txt: txt/dem-2901.txt
summary:
  Results of the test for spatial invariance of the β-convergence parameters Chow test Linear regression Spatial lag model Spatial error model Values of test 8.2701 12.1347 18.9393 p-value 0.0407 0.0069 0.0003 The hypothesis of constancy of parameters in β-convergence models estimated in the cited investigation should be rejected. Selected characteristics of spatial panel models Parameter SAR_FE_IND SAR_RE_IND SE_FE_IND SE_RE_IND Estimate of parameter Statistic t Estimate of parameter Statistic t Estimate of parameter Statistic t Estimate of parameter Statistic t α β ρ λ − –0.064 0.340 − − –16.08 19.42 − 0.319 –0.030 0.344 − 26.23 –24.10 20.24 − − –0.083 − 0.349 − –16.13 − 19.62 0.335 –0.030 − 0.359 26.57 –23.50 − 19.60 Speed of convergence Half-life 0.0658


id: dem-18610
author: Górska, Rumiana
title: Decomposition of Sovereign CDS Spread using the Concept of Factorization
date: 2018-12-27
pages: 16
extension: .pdf
mime: application/pdf
words: 4949
sentence: 292
flesch: 64
cache: cache/dem-18610.pdf
txt: txt/dem-18610.txt
summary:
  The CDS contract price (or CDS spread) is calculated as a percentage of the debt, payable annually. These au- thors used a factor analysis framework to decompose CDS spreads.


id: dem-18579
author: Olbryś, Joanna
title: The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
date: 2018-12-21
pages: 13
extension: .pdf
mime: application/pdf
words: 5063
sentence: 227
flesch: 52
cache: cache/dem-18579.pdf
txt: txt/dem-18579.txt
summary:
  Introduction Investors prefer assets that are liquid, therefore stock market liquidity is of important concern to many investors. Conclusion The main goal of this paper was to explore the existence of commonality in liquidity patterns on seven small CEE emerging stock markets in the Czech Republic, Hungary, Slovakia, Slovenia, Lithuania, Estonia, and Latvia, in the context of serious problems with stock liquidity.


id: dem-2898
author: Burzała, Milda Maria
title: Determination of the Time of Contagion in Capital Markets Based on the Switching Model
date: 2013-12-12
pages: 18
extension: .pdf
mime: application/pdf
words: 6153
sentence: 287
flesch: 53
cache: cache/dem-2898.pdf
txt: txt/dem-2898.txt
summary:
  Some researchers suggest that it is better to resign from expected value model than include incorrectly specified model, especially in the case of total model for expected values and variances (Doman, Doman, 2009). This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements.


id: dem-2902
author: Czapkiewicz, Anna; Machno, Artur
date: 2013-12-12
pages: 18
extension: .pdf
mime: application/pdf
words: 5588
sentence: 285
flesch: 49
cache: cache/dem-2902.pdf
txt: txt/dem-2902.txt
title:
  Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy

summary:
  Optimal portfolios based on Value at Risk and Expected Shortfall minimization have been compared to the Markowitz portfolio. K e y w o r d s: optimal portfolio, Value at Risk, Expected Shortfall, international depen- dency.


id: dem-18441
author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
date: 2018-12-28
pages: 13
extension: .pdf
mime: application/pdf
words: 5557
sentence: 240
flesch: 47
cache: cache/dem-18441.pdf
txt: txt/dem-18441.txt
title:
  Impact of the Sector and of Internal Factors on Profitability of the Companies Listed on the Warsaw Stock Exchange

summary:
  Introduction Identification of the factors shaping enterprise profitability is an important research trend that has been considered on many levels of economic sciences. The factors shaping enterprise profitability can be classified as: internal factors (specific for a given entity), those related to the sector environment and to the macro-environment (Pierścionek, 1997, p. 105–107).


id: dem-20812
author: Roy, Sebastian Amit
date: 2019-12-28
pages: 16
extension: .pdf
mime: application/pdf
words: 5718
sentence: 354
flesch: 52
cache: cache/dem-20812.pdf
txt: txt/dem-20812.txt
title:
  Demonetisation as an Economic Policy Tool: Macroeconomic Implications of a Monetary Market Shock. The Example of the Indian Monetary Reform

summary:
  Due to a significant number of modifications OECD experts Peter Beyes and Reema Bhattacharya described Indian demonetisation as evolutionary (Beyes and Bhattacharya, 2017). On the other hand, lower cash supply could increase demand for the goods produced in the organised sector, thus boosting GDP.


id: dem-2900
author: Kapecka, Agnieszka
title: Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
date: 2013-12-12
pages: 20
extension: .pdf
mime: application/pdf
words: 6438
sentence: 267
flesch: 57
cache: cache/dem-2900.pdf
txt: txt/dem-2900.txt
summary:
  Another study that could be made as a continuation of research conduct- ed in this article could involve inclusion of additional test data, this time not limited to market time series. Fractal time series is obviously not purely determi- nistic, it is rather an intermediate form between a completely random time series and a deterministic system.


id: dem-2896
author: Olbryś, Joanna
date: 2013-12-12
pages: 18
extension: .pdf
mime: application/pdf
words: 7072
sentence: 333
flesch: 62
cache: cache/dem-2896.pdf
txt: txt/dem-2896.txt
title:
  Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC–3 Markets: EGARCH Based Approach

summary:
  The second and potentially serious problem, called ‘nonsynchronous trading effect II’, occurs when we examine the relations between stock markets in various countries. Olbrys (2013) investigates the interdependence of price volatility across the US developed stock market and two emerging Central and Eastern European (CEE) markets in Warsaw and Budapest using a multivariate modified EGARCH model.


id: dem-4193
author: Płuciennik, Piotr
title: Forecasting Financial Processes by Using Diffusion Models
date: 2010-07-17
pages: 10
extension: .pdf
mime: application/pdf
words: 3485
sentence: 156
flesch: 58
cache: cache/dem-4193.pdf
txt: txt/dem-4193.txt
summary:
  K e y w o r d s: diffusion models, ex-post forecasts, Monte-Carlo simulation, the GARCH model, the ARIMA model, unit-root. 1. Introduction Models with continuous time and its particular case – diffusion models are exceptionally important class of models.


id: dem-2897
author: Papież, Monika; Śmiech, Sławomir
date: 2013-12-12
pages: 18
extension: .pdf
mime: application/pdf
words: 6836
sentence: 331
flesch: 53
cache: cache/dem-2897.pdf
txt: txt/dem-2897.txt
title:
  Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis

summary:
  Apergis and Danuletiu (2012) showed that energy consumption Granger caused GDP in Romania in the period 2000- 2011. The analysis allowed for the verification of the hypothesis regarding the links between eco- nomic growth and energy consumption in nine countries.


id: dem-4196
author: Orzeszko, Witold
title: Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
date: 2010-07-17
pages: 10
extension: .pdf
mime: application/pdf
words: 3588
sentence: 160
flesch: 68
cache: cache/dem-4196.pdf
txt: txt/dem-4196.txt
summary:
  Measuring Nonlinear Dependencies in Time Series There are various methods to measure nonlinear dependencies in time series (cf. Darbellay G.A, Wuertz D. (2000), The entropy as a tool for analysing statistical dependencies in financial time series, Physica A, 287, 429–439.


id: dem-4189
author: Bruzda, Joanna
title: European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
date: 2010-07-16
pages: 16
extension: .pdf
mime: application/pdf
words: 4842
sentence: 159
flesch: 45
cache: cache/dem-4189.pdf
txt: txt/dem-4189.txt
summary:
  Similarly, the wavelet covariance and wavelet correlation are introduced. Besides, in the case of wavelet correlations the examination was also performed with the Haar wavelet filter3.


id: dem-18451
author: Devkota, Mitra Lal; Panta, Humnath
date: 2018-12-15
pages: 17
extension: .pdf
mime: application/pdf
words: 7200
sentence: 341
flesch: 59
cache: cache/dem-18451.pdf
txt: txt/dem-18451.txt
title:
  An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal

summary:
  For ex- ample, Smyth and Nandha (2003) and Nieh and Lee (2001), among others, have studied the relationship between stock prices and exchange rates, whereas other researchers have used several macroeconomic variables in their study (Tursoy, Gunsel and Rjoub, 2008). Likewise, a number of empirical studies have investigated the relationship between stock prices and exchange rates.


id: dem-18608
author: Krężołek, Dominik
title: Testing Day of the Week Effect on Precious Metals Market
date: 2018-12-22
pages: 17
extension: .pdf
mime: application/pdf
words: 6330
sentence: 274
flesch: 60
cache: cache/dem-18608.pdf
txt: txt/dem-18608.txt
summary:
  K e y w o r d s: APARCH model; The estimation of unknown parameters of APARCH model is usually conducted using the MLE.


id: dem-2904
author: Geise, Andrzej; Piłatowska, Mariola
date: 2013-12-12
pages: 20
extension: .pdf
mime: application/pdf
words: 6920
sentence: 293
flesch: 57
cache: cache/dem-2904.pdf
txt: txt/dem-2904.txt
title:
  Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies

summary:
  Next, the correlation coefficients between smoothed probabilities of a recession for business cycle in given countries and crude oil price cycle are calculated in order to evaluate the extent to which turning points in the two series occur near each other. Dating of business cycle (recessions) for considered Central Eastern Euro- pean economies and crude oil price cycle (drops in oil prices), 1995−2013 Oil price cycle (drops in oil prices) Business cycle (regime 1 − recession)


id: dem-4198
author: Kwiatkowski, Jacek
title: Unobserved Component Model for Forecasting Polish Inflation
date: 2010-07-17
pages: 10
extension: .pdf
mime: application/pdf
words: 3218
sentence: 144
flesch: 56
cache: cache/dem-4198.pdf
txt: txt/dem-4198.txt
summary:
  In their paper they compare the accuracy of inflation forecasts of wide class of models including standard ARIMA time series models, time-varying parameters models (TVP) and the Phillips curve-based models. In this paper, we examine several types of inflation forecasts in Poland, which are based on time-varying parameters model and subject them to tests for accuracy.


id: dem-4190
author: Doman, Ryszard
title: Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
date: 2010-07-16
pages: 12
extension: .pdf
mime: application/pdf
words: 4669
sentence: 209
flesch: 65
cache: cache/dem-4190.pdf
txt: txt/dem-4190.txt
summary:
  = −− + − − + − = = =∏ ∏∏ … … i … … n n k k n jn j j i j j j j i j j i f x x f x c F x x x F x x x , (14) or 1 1 1 , | 1, , 1 1 1 1 1 1 1 ( , , ) ( ), ( ( | , , ), ( | , , )) . i f x x f x c F x x x F x x x (15) Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula… 35 Decompositions such as (14) and (15) are called pair-copula constructions.


id: dem-2895
author: Doman, Małgorzata; Doman, Ryszard
date: 2013-12-12
pages: 28
extension: .pdf
mime: application/pdf
words: 8463
sentence: 369
flesch: 61
cache: cache/dem-2895.pdf
txt: txt/dem-2895.txt
title:
  The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession

summary:
  Our tool to model the dynamics of dependencies were Markov- switching copula models. As in many papers dealing with dynamic copula models, we separate the estimation of models for marginal distributions from the estimation of the model for the dependence structure.


id: dem-4197
author: Piłatowska, Mariola
title: Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
date: 2010-07-17
pages: 14
extension: .pdf
mime: application/pdf
words: 5444
sentence: 198
flesch: 56
cache: cache/dem-4197.pdf
txt: txt/dem-4197.txt
summary:
  The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). Howev- Mariola Piłatowska 108 er, the problem of model selection implies not only the choice of model in the framework of a given strategy but also the choice of model selection strategy.


id: dem-4200
author: Piłatowska, Mariola
title: Combined Forecasts Using the Akaike Weights
date: 2009-07-18
pages: 12
extension: .pdf
mime: application/pdf
words: 4506
sentence: 175
flesch: 57
cache: cache/dem-4200.pdf
txt: txt/dem-4200.txt
summary:
  From the differences iΔ we can obtain the relative plausibility of model iM over the set of candidate models by estimating the relative likelihood )|( xML i of model iM given the data x (Akaike, 1983): ),5.0exp()|( ii xML Δ−∝ (4) where ∝ stands for „is proportional to”. These lower MSFEs for forecasts from models selected by the minimum of AIC (for σε =1) refer to the cases when the set of candidate models is small (in the considered experiment it were models M3 and M4), and addi- tionally one model in the set has the dominating AIC weight (wAIC > 0.7).


id: dem-4201
author: Szulc, Elżbieta
title: Modeling of Dynamic Spatial Processes
date: 2009-07-18
pages: 10
extension: .pdf
mime: application/pdf
words: 3463
sentence: 153
flesch: 57
cache: cache/dem-4201.pdf
txt: txt/dem-4201.txt
summary:
  K e y w o r d s: spatio-temporal trend, autocorrelation, spatial lag model, dynamic spatial model. The models of the form (8) are named spatial lag models with regard to the presence of the spatial shifted dependent variable W(GDPi).


id: dem-4199
author: Michałek, Anna
date: 2010-07-17
pages: 14
extension: .pdf
mime: application/pdf
words: 5065
sentence: 219
flesch: 58
cache: cache/dem-4199.pdf
txt: txt/dem-4199.txt
title:
  The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule

summary:
  In the case of GDP gap based on the current (gap 1, 2, 3 and 4) the closing output gap was observed year later, in the second half of 2006 (compare Figure 4 and 5)7. K e y w o r d s: Taylor rule, output gap.


id: dem-4206
author: Kośko, Monika
title: Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
date: 2009-07-18
pages: 8
extension: .pdf
mime: application/pdf
words: 2677
sentence: 144
flesch: 64
cache: cache/dem-4206.pdf
txt: txt/dem-4206.txt
summary:
  There can be found three approaches in an application of the MS models to contagion effect analysis, such as: − univariate models with the switch in variance MSH (Moore, Wang, 2007); − multivariate models with the switch in variance MSH-VAR or both in the variance and mean MSMH-VAR (Linne, 2001; Mandilaras, Bird, 2005); − the GARCH models with the Markov switching MS-GARCH (Edwards, Susmel, 2001). For two states models one of the states is interpreted as low volatility periods and the second state as high volatility periods.


id: dem-4204
author: Górecka, Dorota; Śliwicki, Dominik
date: 2009-07-18
pages: 10
extension: .pdf
mime: application/pdf
words: 3390
sentence: 108
flesch: 48
cache: cache/dem-4204.pdf
txt: txt/dem-4204.txt
title:
  Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries

summary:
  The results of estimation of the panel data model with fixed individual ef- fects for developed Scandinavian countries point to the existence of the signifi- cant relationship between real exchange rate and both the trade balance and the relative real interest rate. The investigation constitutes an attempt to determine dependencies between exchange rate and macroeconomic factors for three Scandinavian (Denmark, Norway and Sweden) and three CEFTA countries (Czech Republic, Hungary and Poland) by means of panel data models.


id: dem-4208
author: Szajt, Marek
title: Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods
date: 2009-07-18
pages: 8
extension: .pdf
mime: application/pdf
words: 2798
sentence: 121
flesch: 52
cache: cache/dem-4208.pdf
txt: txt/dem-4208.txt
summary:
  K e y w o r d s: patent activity, panel model, decomposition of intercept. However, taking into account the remarks of Pedroni, we find the results of ADF tests as the more appropriate ones, which reject the H0.


id: dem-4203
author: Górka, Joanna
title: Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
date: 2009-07-18
pages: 12
extension: .pdf
mime: application/pdf
words: 3604
sentence: 138
flesch: 62
cache: cache/dem-4203.pdf
txt: txt/dem-4203.txt
summary:
  For mod- els from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were calculated based on rolling estimates from the given model using different window sizes. The aim of this paper is to apply the family of Sign RCA models to obtain the selected risk measures for daily and weekly data.


id: dem-4210
author: Chruściński, Tomasz
title: The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
date: 2009-07-18
pages: 8
extension: .pdf
mime: application/pdf
words: 2696
sentence: 124
flesch: 53
cache: cache/dem-4210.pdf
txt: txt/dem-4210.txt
summary:
  Tools used in this study are Multivari- ate GARCH models. A natural exten- sion of GARCH models for the analysis of financial markets was introduced by Bollerslev (1988)


id: dem-4202
author: Bejger, Sylwester
title: Econometric Tools for Detection of Collusion Equilibrium in the Industry
date: 2009-07-18
pages: 12
extension: .pdf
mime: application/pdf
words: 3741
sentence: 166
flesch: 48
cache: cache/dem-4202.pdf
txt: txt/dem-4202.txt
summary:
  In accordance with known tacit collusion models: 1. The article presents one of collusion markers resulting from the theoretical model of tacit collusion, which is price rigidity in the collusion phase, and pro- poses the application of the Markov Switching Model of MS-AR-GARCH type in order to detect structural changes in market price variance, and thereby to Sylwester Bejger 28 verify the presence of the aforementioned marker.


id: dem-4205
author: Burzała, Milda Maria
title: The Synchronization of Regional Business Cycles with Nationwide Cycles
date: 2009-07-18
pages: 12
extension: .pdf
mime: application/pdf
words: 3911
sentence: 162
flesch: 58
cache: cache/dem-4205.pdf
txt: txt/dem-4205.txt
summary:
  Hence the concept of economic activity is associated with changes resulting from the joint effect Milda Maria Burzała 62 of growth factors and business cycle fluctuations. Gain coefficients make it possible to compare the amplitudes of cycles ob- served in a region with the amplitude of nationwide cycles within particular bands of fluctuations.


id: dem-27642
author: Atinafu, Wondatir
title: Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach
date: 2019-12-28
pages: 28
extension: .pdf
mime: application/pdf
words: 11028
sentence: 536
flesch: 53
cache: cache/dem-27642.pdf
txt: txt/dem-27642.txt
summary:
  With this background, (that is growing of different school of thought with regard to resource consumption in general and energy consumption in partic- ular) there are numerous researches which have tried to figure out the casual relationship between energy use growth and economic growth. The implication of the uni-directional causality running from economic development to energy consumption result is that, the result may statistically suggest that energy conservation measures may be taken without jeopardizing economic development.


id: dem-4194
author: Górka, Joanna
title: The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
date: 2010-07-17
pages: 22
extension: .pdf
mime: application/pdf
words: 7624
sentence: 408
flesch: 75
cache: cache/dem-4194.pdf
txt: txt/dem-4194.txt
summary:
  One can see that the accuracy test rejects the null hypothesis for windows size of 500, 400 observations for HS, EWMA model, AR(1)-GARCH(1,1) model, RCA model and Sign RCA model. Next position in this ranking have AR(1)-GARCH(1,1) model, EWMA model, RCA model, Sign RCA model and the last position has RM ( 0.99λ = ).


id: dem-4213
author: Krajewski, Jarosław
title: Estimating and Forecasting GDP in Poland with Dynamic Factor Model
date: 2009-07-18
pages: 8
extension: .pdf
mime: application/pdf
words: 2469
sentence: 136
flesch: 59
cache: cache/dem-4213.pdf
txt: txt/dem-4213.txt
summary:
  Factor model of GDP in Poland estimated in this way has R-squared over 70%. K e y w o r d s: Dynamic factor models, principal components analysis, GDP.


id: dem-4211
author: Fałdziński, Marcin
title: Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
date: 2009-07-18
pages: 10
extension: .pdf
mime: application/pdf
words: 3739
sentence: 146
flesch: 64
cache: cache/dem-4211.pdf
txt: txt/dem-4211.txt
summary:
  The idea of new approach is completely based on the forecast capability from volatility model for time series (in this case it is GARCH model but we also used SV model). The parameters were estimated with the maximum likelihood method in case of GARCH models and the quasi-maximum likelihood method in the case of the SV models.


id: dem-4207
author: Pajor, Anna
title: Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
date: 2009-07-18
pages: 10
extension: .pdf
mime: application/pdf
words: 4232
sentence: 173
flesch: 65
cache: cache/dem-4207.pdf
txt: txt/dem-4207.txt
summary:
  In the case of the uniform prior for λ on the interval [0; 1], for most stock indices (considered here) the posterior mean is smaller than the prior mean, but the dispersion of posterior distribution is close to that of the prior distribution (in the case of c, Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models 87 the prior mean is equal to 0.5, the prior standard deviation is equal to 0.288). Prior distributions for the Box-Cox transformation parameter (λ)


id: dem-4209
author: Włodarczyk, Aneta; Zawada, Marcin
date: 2009-07-18
pages: 12
extension: .pdf
mime: application/pdf
words: 4265
sentence: 153
flesch: 53
cache: cache/dem-4209.pdf
txt: txt/dem-4209.txt
title:
  The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland

summary:
  K e y w o r d s: weather variables, the ARFIMA-FIGARCH class model, weather risks. The models of power consumption without weather variables, including the impact of air temperature, wind, as well as the HDD index were estimated with the OLS method.


id: dem-16103
author: Sharma, Shravani; Kumar, Supran
date: 2018-07-30
pages: 30
extension: .pdf
mime: application/pdf
words: 12779
sentence: 482
flesch: 43
cache: cache/dem-16103.pdf
txt: txt/dem-16103.txt
title:
  Dynamics of Financial Development and Economic Growth: Panel Data Analysis for Selected Indian States

summary:
  5−34 Submitted March 10, 2018 ISSN (online) 2450-7067 Accepted June 15, 2018 ISSN (print) 1234-3862 Shravani Sharma and Supran Kumar* Dynamics of Financial Development and Economic Growth: Panel Data Analysis for K e y w o r d s: causality; economic growth; financial development; panel data; unit root.


id: dem-4212
author: Huptas, Roman
title: Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
date: 2009-07-18
pages: 10
extension: .pdf
mime: application/pdf
words: 4050
sentence: 190
flesch: 54
cache: cache/dem-4212.pdf
txt: txt/dem-4212.txt
summary:
  Descriptive statistics of transaction durations CEZ Agora TPSA Number of observations 13919 19183 65166 Mean 98.930 84.840 25.110 Standard deviation (SD) 224.720 176.560 43.640 Dispersion index ( =Mean/SD) 2.270 2.080 1.740 Minimum 1 1 1 Maximum 4196 4003 833 ACF(1) 0.220 0.225 0.212 ACF(2) Roman Huptas 134 The basic descriptive statistics of transaction durations for the shares in question are illustrated in Table 1.


id: dem-5675
author: Syczewska, Ewa M.
title: The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis
date: 2015-04-15
pages: 12
extension: .pdf
mime: application/pdf
words: 4117
sentence: 242
flesch: 66
cache: cache/dem-5675.pdf
txt: txt/dem-5675.txt
summary:
  K e y w o r d s: Exchange rates, stock indices, financial crisis, risk, Granger causality, instan- taneous causality, Diks-Panchenko test. The Granger test of Granger causality is based on VAR – type regres- sions (regression of Y on its lagged values and the same lags of the X varia- ble): tktkttktktt xbxbxbyayay   12121111111 ...... .


id: dem-5679
author: Górka, Joanna
title: Option Pricing under Sign RCA-GARCH Models
date: 2015-04-15
pages: 16
extension: .pdf
mime: application/pdf
words: 4867
sentence: 197
flesch: 61
cache: cache/dem-5679.pdf
txt: txt/dem-5679.txt
summary:
  Option prices calculated by the BS formula were underestimated, while option prices calculated by other models were overestimated for the sample size of 252 observations and 1008 observations. This paper shows how one can compute option prices using Sign RCA-GARCH models for the dynamics of the volatility.


id: dem-5678
author: Szulc, Elżbieta; Wleklińska, Dagna; Górna, Karolina; Górna, Joanna
date: 2015-04-15
pages: 20
extension: .pdf
mime: application/pdf
words: 6307
sentence: 242
flesch: 48
cache: cache/dem-5678.pdf
txt: txt/dem-5678.txt
title:
  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

summary:
  K e y w o r d s: stock exchanges, convergence, physical and economic distance, connectivity matrix, spatial panel models. It was recognized that, in the light of theory and empirical analyses, the specified variables are important determinants of the develop- ment of stock exchanges.


id: dem-5671
author: Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, Paweł; Ślepaczuk, Robert; Wójcik, Piotr
title: Does Historical VIX Term Structure Contain Valuable Information for Predicting VIX Futures?
date: 2015-04-15
pages: 24
extension: .pdf
mime: application/pdf
words: 7644
sentence: 358
flesch: 62
cache: cache/dem-5671.pdf
txt: txt/dem-5671.txt
summary:
  Figure 3. Boxplot for Slope1 with respect to VIX quintile groups. The descriptive statistics of Slope2 for VIX quintile groups VIX quintile group size parameters Min Max Avg Med SD VIX levels 1 374 (0;13.14] 0.9 20.3 5.7 5.4 3.1 2 374 (13.14;16.03] –5.4 20.1 9.4 10.6 5.6 3 375 (16.03;19.55] –2.2 19.0 8.0 8.7 4.9 4 373 (19.55:25.41] –10.5 16.1 4.3 4.6 5.1 5 374 (25.41;80.86] –71.8 8.4 –9.9 –5.6 13.9 ALL 1870 (0:80.86] –71.8 20.3 3.5 4.8 10.3 Note: All calculations were made on the data from 01/01/2006 until 01/07/2013 on the basis of VIX futures with up to 7 months to expiration.


id: dem-5676
author: Kompa, Krzysztof; Witkowska, Dorota
title: Pension Funds in Poland: Efficiency Analysis for Years 1999–2013
date: 2015-04-15
pages: 20
extension: .pdf
mime: application/pdf
words: 8008
sentence: 461
flesch: 70
cache: cache/dem-5676.pdf
txt: txt/dem-5676.txt
summary:
  K e y w o r d s: pension system, pension funds, Sharpe and Treynor efficiency ratios. Pension funds operate like other open-end mutual funds i.e. they collect retirement savings from employees and their employers, and invest this money in a wide range of assets.


id: dem-5673
author: Piłatowska, Mariola; Włodarczyk, Aneta; Zawada, Marcin
title: The Environmental Kuznets Curve in Poland – Evidence from Threshold Cointegration Analysis
date: 2015-04-15
pages: 20
extension: .pdf
mime: application/pdf
words: 7908
sentence: 351
flesch: 57
cache: cache/dem-5673.pdf
txt: txt/dem-5673.txt
summary:
  K e y w o r d s: Environmental Kuznets Curve, greenhouse gas emission, energy consump- tion, growth, threshold cointegration, Granger causality. Data Source The data used in this study consist of greenhouse gas emissions ( tEP ) (in tons of CO2 equivalent per capita), real gross domestic product per capita ( tGDP ) and energy consumption 3 ( tE ) in kilo of oil equivalent per capita in Poland.


id: dem-5672
author: Drzewoszewska, Natalia
date: 2015-04-15
pages: 22
extension: .pdf
mime: application/pdf
words: 8213
sentence: 336
flesch: 48
cache: cache/dem-5672.pdf
txt: txt/dem-5672.txt
title:
  Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows

summary:
  K e y w o r d s: international trade, panel data, gravity model, multilateral trade-resistance terms, bilateral trade costs, globalization in the XXI century, Euro‘s effect J E L Classification: F10, F14, F15, C23, C24, C26. Three synthetic variables: for bilateral trade costs, exporter’s and import-


id: dem-5674
author: Geise, Andrzej; Piłatowska, Mariola
title: Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
date: 2015-04-15
pages: 22
extension: .pdf
mime: application/pdf
words: 7833
sentence: 420
flesch: 64
cache: cache/dem-5674.pdf
txt: txt/dem-5674.txt
summary:
  In direct response to this empirical work, Hamilton (1996) showed new meas- ure (net oil price increases-NOPI- difference between oil price level and the maximum price of the previous four quarters) which was able to detect a significant relationship between oil prices and real GDP. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causal- ity.


id: dem-8595
author: Bejger, Sylwester
date: 2016-02-18
pages: 18
extension: .pdf
mime: application/pdf
words: 6290
sentence: 297
flesch: 56
cache: cache/dem-8595.pdf
txt: txt/dem-8595.txt
title:
  Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach

summary:
  Instead, we strive to answer the question regarding whether the observed series of price levels can be compatible with the known model of the strategic interaction of players (may be part of the equi- librium of a game). We wanted to utilize the concept then but formulate the question slightly differently: what were the strategic implications of IPP treated as the “focal price” for player’s daily actions (price levels)?


id: dem-8756
author: Groszkowski, Tomasz; Stryjewski, Tomasz
date: 2015-12-28
pages: 10
extension: .pdf
mime: application/pdf
words: 3041
sentence: 136
flesch: 39
cache: cache/dem-8756.pdf
txt: txt/dem-8756.txt
title:
  An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013

summary:
  This article focuses on economic factors, describing the structural and economic determinants of entrepreneurship and quantitative aspects of that issue. K e y w o r d s: entrepreneurship, development factors, panel data model, FE/RE model.


id: dem-8589
author: Mazur, Błażej
title: Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
date: 2015-12-28
pages: 18
extension: .pdf
mime: application/pdf
words: 6549
sentence: 296
flesch: 44
cache: cache/dem-8589.pdf
txt: txt/dem-8589.txt
summary:
  The second column indicates assumptions regarding the contemporaneous variance-covariance matrix (rele- vant for disaggregate models only), with ‘d’ denoting a diagonal matrix, whereas ‘nd’ denotes non- diagonal one; ‘st. dev.’ Individual predictive models are chosen based on say goodness of fit for the individual series.


id: dem-8573
author: Szulc, Elżbieta; Wleklińska, Dagna
date: 2015-12-28
pages: 22
extension: .pdf
mime: application/pdf
words: 6411
sentence: 228
flesch: 48
cache: cache/dem-8573.pdf
txt: txt/dem-8573.txt
title:
  Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012

summary:
  The same classes of models were used previously (Szulc et al., 2014).The premises for the application of spatial models are as follows: The use of spatial models provides the opportunity to measure and inter- pret the impact of connections of a given stock exchange with others on its development.


id: dem-8588
author: Nowak, Sabina; Olbryś, Joanna
title: Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
date: 2015-12-28
pages: 22
extension: .pdf
mime: application/pdf
words: 6718
sentence: 305
flesch: 63
cache: cache/dem-8588.pdf
txt: txt/dem-8588.txt
summary:
  Furthermore, we did not confirm the occurrence of the ‘full inverted U-shape’ in daily turnover of the companies analysed, since in the majority of the cases the level on Friday turnover was not statistically significantly lower than on the other days of the week. In this research, we compute daily turnover as a measure of liquidity for stock i on day d: , , , , di di di NSO V T = (1) where diT , is the turnover of stock i on day d, diV , is the trading volume of stock i on day d, diNSO , is the number of shares outstanding at the beginning of the quarter for stock i on day d. 1.3.


id: dem-8574
author: Lenart, Łukasz
title: Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
date: 2015-12-28
pages: 22
extension: .pdf
mime: application/pdf
words: 6539
sentence: 238
flesch: 63
cache: cache/dem-8574.pdf
txt: txt/dem-8574.txt
summary:
  In the case T1 considered time series is second order stationary and the peak close to zero corresponds to second order properties of considered time series. Therefore, such fluctuation seems not to be the effected by 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Belgium 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Bulgaria 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Czech Republic 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Denmark 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Germany 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Estonia 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Greece 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Spain 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 France 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Croatia 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Italy 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Cyprus 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Latvia 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Lithuania 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Luxembourg 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Hungary 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Malta 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Netherlands 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Austria 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Poland 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Portugal 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Romania 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Slovenia 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Slovakia 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Finland 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Sweden 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 United Kingdom 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Norway 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Former Yugoslav Republic of Macedonia 0,0 0,3 0,6 0,9 1,3 1,6 1,9 2,2 2,5 2,8 3,1 Serbia Łukasz Lenart DYNAMIC ECONOMETRIC


id: dem-8593
author: Andrzejczak, Katarzyna; Kliber, Agata
title: The Model of French Development Assistance – Who Gets the Help?
date: 2016-02-18
pages: 22
extension: .pdf
mime: application/pdf
words: 8389
sentence: 410
flesch: 55
cache: cache/dem-8593.pdf
txt: txt/dem-8593.txt
summary:
  Introduction The role and effectiveness of development aid have been repeatedly questioned ever since the system was established. There is an increasing volume of development aid provided by the emerging economies.


id: dem-8594
author: Ratuszny, Ewa
date: 2016-02-18
pages: 28
extension: .pdf
mime: application/pdf
words: 10054
sentence: 413
flesch: 55
cache: cache/dem-8594.pdf
txt: txt/dem-8594.txt
title:
  Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts

summary:
  We try to verify the following hypothesis: The encompassing method or combining forecast methods based on CAViaR models and implied quantile model improve accuracy of VaR for commodities. Estimated parameters of linear combination method Model Long position Short position 0.01 0.05 0.01 0.05 1γ 2γ 3γ 1γ 2γ 3γ 1γ 2γ 3γ 1γ 2γ 3γ Gold SAV –0.002 0.826 0.265 –0.005 1.153 0.104 –0.009 2.121 –0.584 –0.001 1.624 –0.403 AS –0.001 1.091 –0.025 –0.005 1.187 0.090 –0.011 1.571 0.020 –0.001 1.598 –0.381 Indirect GARCH –0.001 1.120 –0.057 –0.005 1.057 0.178 –0.008 2.253 –0.746 0.000 1.622 –0.468 AD 0.028 1.215 –0.956 0.005 1.294 –0.460 0.027 1.637 –1.287 0.005 1.188 –0.378 Oil SAV –0.010 0.650 0.572 –0.008 0.581 0.639 –0.011 0.593 0.601 –0.013 0.907 0.454 AS –0.006 0.561 0.575 –0.006 0.296 0.863 –0.008 0.198 0.950 –0.007 0.447 0.758 Indirect GARCH –0.014 0.617 0.686 –0.007 0.201 0.969 –0.010 0.492 0.704 –0.012 0.943 0.417 AD –0.016 1.338 0.035 –0.015 1.314 0.162 –0.029 1.235 0.236 –0.123 1.476 3.111 Note: 0.01; 0.05 – α-significance level of VaR; bolded values indicate models with higher value of parameter for forecasts derived on the basis of implied quantile model For determining the coefficient λ the EWQR method is applied.


# url

id: dem-14658
domain: yadda.icm.edu.pl
url:
  http://yadda.icm.edu.pl/yadda/element/bwmeta1.element.ekon-element-59348fa7-e43f-3ca4-90f1-cee018b3fb04


id: dem-15776
domain: www.questia.com
url:
  https://www.questia.com/library/journal/1p3-16999247/the-effect-of-macroeconomic-variables-on-stock-market


id: dem-15617
domain: stat.gov.pl
url:
  http://stat.gov.pl/obszarytematyczne/roczniki-statystyczne/roczniki-statystyczne/rocznik-statystyczny-wojewodztw2015,4,10.html;http://stat.gov.pl/obszary-tematyczne/roczniki-statystyczne/rocznikistatystyczne/rocznik-statystyczny-wojewodztw-2000,4,10.html


id: dem-15617
domain: stat.gov.pl
url:
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id: dem-15617
domain: stat.gov.pl
url:
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id: dem-15617
domain: stat.gov.pl
url:
  http://stat.gov.pl/obszary-tematyczne/rocznikistatystyczne/roczniki-statystyczne/rocznik-statystyczny-wojewodztw-2015,4,10.html


id: dem-13561
domain: econpapers.repec.org
url:
  https://econpapers.repec.org/scripts/redir.pf?u=http%3a%2f%2fdx.doi.org%2f10.1086%2f250093;h=repec:ucp:jpolec:v:107:y:1999:i:6:p:1163-1198


id: dem-15326
domain: yadda.icm.edu.pl
url:
  http://yadda.icm.edu.pl/yadda/element/bwmeta1.element.desklight5b844cbc-6bea-4ab6-95fd-52f6e5e158ac/c/irg_pim_90_r07tr.pdf


id: dem-15326
domain: www.degruyter.com
url:
  https://www.degruyter.com/downloadpdf/j/manment.2013.17.issue-1/manment-20130028/manment-2013-0028.pdf


id: dem-20812
domain: www.aljazeera.com
url:
  https://www.aljazeera.com/indepth/features/2016/11/india-demonetisation-modi-didnpoor-161123073645259.html


id: dem-20812
domain: www.economist.com
url:
  https://www.economist.com/news/finance-and-economics/21711035-withdrawing-86-value-cash-circulation-india-was-bad-idea-badly


id: dem-20812
domain: www.google.com
url:
  https://www.forbes.com/forbes/welcome/?tourl=https://www.forbes.com/sites/timworstall/2016/12/04/absolutely-true-demonetisation-will-boost-indias-gdp-but-howtrue-is-it/&refurl=https://www.google.com/&referrer=https://www.google.com


id: dem-8593
domain: www.ilo.org
url:
  http://www.ilo.org/wcmsp5/groups/public/---ed_emp/---emp_ent/--ifp_seed/documents/publication/wcms_143158.pdf


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sid: 193
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entity:
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sid: 218
eid: 1
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sid: 142
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type: PERSON
entity:
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sid: 165
eid: 1
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entity:
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sid: 166
eid: 1
type: ORG
entity:
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sid: 210
eid: 2
type: ORG
entity:
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id: dem-15481
sid: 233
eid: 2
type: PERSON
entity:
  można wyjaśnić modyfikowaniem zasad funkcjonowania europejskiego systemu handlu emisjami oraz wprowadzaniem


id: dem-14899
sid: 213
eid: 7
type: PRODUCT
entity:
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id: dem-14899
sid: 241
eid: 1
type: EVENT
entity:
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id: dem-20812
sid: 337
eid: 1
type: PERSON
entity:
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id: dem-20812
sid: 349
eid: 2
type: PERSON
entity:
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id: dem-13561
sid: 257
eid: 2
type: FAC
entity:
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id: dem-13561
sid: 274
eid: 3
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entity:
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id: dem-13561
sid: 277
eid: 1
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entity:
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id: dem-15326
sid: 303
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entity:
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lemma:
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