item: #1 of 102
          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
       words: 6341
      flesch: 67
     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
    keywords: expectations; interest; n t; period; rates; spread; structure; t t; term; var
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        item: #2 of 102
          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
       words: 6450
      flesch: 58
     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.
    keywords: analysis; changes; data; finance; indexes; journal; linkages; markets; number; relations; sbi20; stock; wig20
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        item: #3 of 102
          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
       words: 7029
      flesch: 50
     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.
    keywords: distribution; eur; impact; information; journal; market; models; pln; price; quantile; relationship; return; trading; trading volume; variable; volatility; volume
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        item: #4 of 102
          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
       words: 6478
      flesch: 63
     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.
    keywords: bayesian; jumps; market; model; option; parameters; pricing; replication; replication strategy; strategy
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        item: #5 of 102
          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
       words: 6260
      flesch: 55
     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.
    keywords: = =; activity; dating; decline; economy; growth; hamilton; logit; model; phases; probability; recession; regime; research
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        item: #6 of 102
          id: dem-1054
      author: Krężołek, Dominik
       title: Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions
        date: 2012-12-09
       words: 4992
      flesch: 56
     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.
    keywords: analysis; distribution; gold; investment; market; measures; models; palladium; platinum; risk; table; value
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        item: #7 of 102
          id: dem-1055
      author: Górka, Joanna
       title: The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
        date: 2012-12-09
       words: 2659
      flesch: 89
     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 >  =
    keywords: t t
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        item: #8 of 102
          id: dem-1056
      author: Pietrzak, Michał Bernard; Drzewoszewska, Natalia; Wilk, Justyna
       title: The Analysis of Interregional Migrations in Poland in the Period 2004–2010 Using Panel Gravity Model
        date: 2012-12-09
       words: 4782
      flesch: 39
     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.
    keywords: effects; gravity; migration; model; panel; period; regions; time; variables
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        item: #9 of 102
          id: dem-1057
      author: Szulc, Elżbieta
       title: Identification of the Structures of Spatial and Spatio- Temporal Processes and a Problem of Data Aggregation
        date: 2011-12-10
       words: 5883
      flesch: 52
     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
    keywords: data; models; poviats; processes; regions; spatial; sub; unemployment; value;  ;  
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        item: #10 of 102
          id: dem-1058
      author: Piłatowska, Mariola
       title: Information and Prediction Criteria in Selecting the Forecasting Model
        date: 2011-12-10
       words: 4933
      flesch: 48
     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.
    keywords: ar ar; ar arima; ar rw; arima arima; model; rw arima; rw rw; size
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        item: #11 of 102
          id: dem-1059
      author: Pajor, Anna
       title: Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
        date: 2011-12-10
       words: 6691
      flesch: 71
     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.
    keywords: model; msf; pajor; portfolio; sbekk
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        item: #12 of 102
          id: dem-1060
      author: Bień-Barkowska, Katarzyna
       title: Distribution Choice for the Asymmetric ACD Models
        date: 2011-12-10
       words: 8132
      flesch: 75
     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
    keywords: aacd; b b; distribution; model; order;  ;  
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        item: #13 of 102
          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
       words: 5054
      flesch: 59
     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.
    keywords: copula; correlations; dax; dependence; dynamics; eur; exchange; indices; s&p500; student; usd; wig20
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        item: #14 of 102
          id: dem-1063
      author: Fiszeder, Piotr
       title: Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
        date: 2011-12-10
       words: 4360
      flesch: 45
     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).
    keywords: garch; matrix; minimum; models; multivariate; portfolio; returns; selection; stocks; variance
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        item: #15 of 102
          id: dem-1064
      author: Będowska-Sójka, Barbara
       title: The Impact of Macro News on Volatility of Stock Exchanges
        date: 2011-12-10
       words: 4368
      flesch: 59
     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.
    keywords: american; announcements; dax; intraday; macroeconomic; markets; news; returns; series; volatility; wig20
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        item: #16 of 102
          id: dem-1065
      author: Kliber, Agata
       title: Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
        date: 2011-12-10
       words: 6139
      flesch: 64
     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.
    keywords: causality; cds; cds instruments; cds prices; central; czech; hungarian; hungary; poland; polish; t t; test; volatility
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        item: #17 of 102
          id: dem-1066
      author: Osińska, Magdalena
       title: On the Interpretation of Causality in Granger’s Sense
        date: 2011-12-10
       words: 4577
      flesch: 59
     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.
    keywords: causality; definition; granger; granger causality; information;  
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        item: #18 of 102
          id: dem-1067
      author: Bruzda, Joanna
       title: The Haar Wavelet Transfer Function Model and Its Applications
        date: 2011-12-10
       words: 5154
      flesch: 65
     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 .
    keywords: function; k k; t t; wavelet;  ;  
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        item: #19 of 102
          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
       words: 6125
      flesch: 48
     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.
    keywords: analysis; application; change; coefficients; collusion; detection; j j; lysine; price; time; variance; wavelet; whitcher
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        item: #20 of 102
          id: dem-1076
      author: Kliber, Paweł
       title: Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
        date: 2011-12-10
       words: 4779
      flesch: 66
     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.
    keywords: activity; getoor; index; jumps; lévy; process; processes; singularity
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        item: #21 of 102
          id: dem-1080
      author: Olbryś, Joanna
       title: ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market
        date: 2011-12-10
       words: 8182
      flesch: 66
     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.
    keywords: 210; arch; effect; equity; funds; garch(p; market; models; polish; table; timing
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        item: #22 of 102
          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
       words: 4154
      flesch: 54
     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.
    keywords: models; parameters; rate; space; spatial; time; unemployment; ≈0.00; ≈0.00 ≈0.00
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        item: #23 of 102
          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
       words: 5292
      flesch: 58
     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.
    keywords: data; doi; effect; halloween; jacobsen; market; month; regressions; sell; sentiment; stock; strategies
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        item: #24 of 102
          id: dem-11733
      author: Bruzda, Joanna
       title: Quantile Forecasting in Operational Planning and Inventory Management – an Initial Empirical Verification
        date: 2016-12-28
       words: 9275
      flesch: 36
     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.
    keywords: forecasting; forecasts; mean; methods; models; quantile; series; time
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        item: #25 of 102
          id: dem-11736
      author: Fałdziński, Marcin; Osińska, Magdalena
       title: Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets
        date: 2016-12-28
       words: 5823
      flesch: 64
     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
    keywords: bse; causality; dax; estimators; kospi; markets; risk; volatility
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        item: #26 of 102
          id: dem-11737
      author: Stawicki, Józef
       title: Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange
        date: 2016-12-28
       words: 2896
      flesch: 62
     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.
    keywords: chain; markov; matrix; return; state;  ;  
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        item: #27 of 102
          id: dem-11738
      author: Różański, Jerzy; Sekuła, Paweł
       title: Determinants of Foreign Direct Investment in Developed and Emerging Markets
        date: 2016-12-28
       words: 6190
      flesch: 50
     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.
    keywords: countries; determinants; economies; fdi; growth; impact; index; inflows; investment; markets; quality; variables
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        item: #28 of 102
          id: dem-11740
      author: Geise, Andrzej; Piłatowska, Mariola
       title: Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries
        date: 2016-12-29
       words: 8252
      flesch: 63
     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.
    keywords: case; cointegration; ecm; inflation; models; oil; oil prices; poland; prices; production; relationship; run; threshold
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        item: #29 of 102
          id: dem-11741
      author: Włodarczyk, Aneta; Otola, Iwona
       title: Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market
        date: 2016-12-29
       words: 11015
      flesch: 43
     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.
    keywords: analysis; companies; construction; distribution; elimination; enterprises; firm; firms volatility; impact; market variables; market volatility; model; period; process; relationship; sector; stock; stock market; student; student distribution; value; volatility
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        item: #30 of 102
          id: dem-11743
      author: Kompa, Krzysztof; Witkowska, Dorota
       title: Performance of Pension Funds and Stable Growth Open Investment Funds During the Changes in the Polish Retirement System
        date: 2016-12-29
       words: 5747
      flesch: 57
     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.
    keywords: funds; investment; models; pension; pension funds; periods; sharpe; table
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        item: #31 of 102
          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
       words: 6926
      flesch: 57
     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.
    keywords: business; business cycle; cee; countries; cycle; doi; economies; forecasting; growth; kufel; model; osińska; rate; tar; threshold; variable
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        item: #32 of 102
          id: dem-11745
      author: Szetela, Beata; Mentel, Grzegorz; Gędek, Stanisław
       title: Dependency Analysis between Bitcoin and Selected Global Currencies
        date: 2016-12-29
       words: 4585
      flesch: 53
     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.
    keywords: .0001; analysis; arma; bitcoin; currencies; doi; garch; models; pln; price; results; test; time; zloty
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        item: #33 of 102
          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
       words: 8083
      flesch: 50
     summary: Introduction The effects of income inequality and redistribution are complex and con- troversial. Income inequality may affect economic growth both negatively and positively.
    keywords: baseline; countries; democracies; democracy; doi; economic; effects; gmm; growth; impact; income; income inequality; inequality; models; redistribution; table
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        item: #34 of 102
          id: dem-14658
      author: Kaczmarczyk, Paweł
       title: Microeconometric Analysis of Telecommunication Services Market with the use of SARIMA Models
        date: 2017-12-07
       words: 4934
      flesch: 46
     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).
    keywords: analysis; demand; figure; forecasting; hours; model; regression; regression model; residuals; sarima; services; working
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        item: #35 of 102
          id: dem-14839
      author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
       title: Determinants of Corporate Performance: Modelling Approach
        date: 2017-12-29
       words: 5213
      flesch: 56
     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:
    keywords: capital; companies; company; effects; growth; journal; models; performance; roa; roe; size; structure
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        item: #36 of 102
          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
       words: 6403
      flesch: 52
     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.
    keywords: doi; estvec; exchange; forecasting; models; power; ppp; rate; transition; vecm; ξ estvec
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        item: #37 of 102
          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
       words: 4880
      flesch: 58
     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  .
    keywords: estimation; markov; models; risk; series; time; value; var
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        item: #38 of 102
          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
       words: 9647
      flesch: 61
     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.
    keywords: analysis; convergence; countries; gdp; growth; hmm; markov; models; path; poland; rates; results; viterbi
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        item: #39 of 102
          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
       words: 6073
      flesch: 43
     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 .
    keywords: aircraft; allowances; aviation; co2; emission; euaas; market; models; operators; price; regime; returns; risk; volatility; volatility regime
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        item: #40 of 102
          id: dem-15617
      author: Warżała, Rafał
       title: Business Cycles Variability in Polish Regions in the Years 2000 – 2016
        date: 2017-12-28
       words: 5074
      flesch: 51
     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.
    keywords: business; business cycles; cycles; fluctuations; gdp; level; policy; pomerania; regions; series; silesia
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        item: #41 of 102
          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
       words: 5226
      flesch: 49
     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.
    keywords: interest; level; market; money; prices; rate; stock; stock prices; supply; variables
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        item: #42 of 102
          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
       words: 4609
      flesch: 50
     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.
    keywords: election; fio; funds; market; models; period; returns; round
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        item: #43 of 102
          id: dem-15819
      author: Będowska-Sójka, Barbara
       title: Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
        date: 2017-12-28
       words: 6090
      flesch: 55
     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.
    keywords: accuracy; banking; bekk; beta; dcc; dynamic; estimates; models; sample; stocks; time
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        item: #44 of 102
          id: dem-16103
      author: Sharma, Shravani; Kumar, Supran
       title: Dynamics of Financial Development and Economic Growth: Panel Data Analysis for Selected Indian States
        date: 2018-07-30
       words: 12779
      flesch: 43
     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.
    keywords: cointegration; credit; cross; data; development; doi; growth; journal; level; panel; panel data; present; relationship; results; root; run; states; study; test; unit; variables
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        item: #45 of 102
          id: dem-18441
      author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
       title: Impact of the Sector and of Internal Factors on Profitability of the Companies Listed on the Warsaw Stock Exchange
        date: 2018-12-28
       words: 5557
      flesch: 47
     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).
    keywords: assets; companies; company; enterprises; factors; impact; level; model; profitability; research; results; sector
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        item: #46 of 102
          id: dem-18451
      author: Devkota, Mitra Lal; Panta, Humnath
       title: An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal
        date: 2018-12-15
       words: 7200
      flesch: 59
     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.
    keywords: causality; exchange rate; gold; gold price; index; interest rate; nepse; price; rate; relationship; run; stock; test; variables
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        item: #47 of 102
          id: dem-18579
      author: Olbryś, Joanna
       title: The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
        date: 2018-12-21
       words: 5063
      flesch: 52
     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.
    keywords: commonality; companies; daily; doi; exchange; liquidity; markets; models; nasdaq; non; stock; trading
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        item: #48 of 102
          id: dem-18608
      author: Krężołek, Dominik
       title: Testing Day of the Week Effect on Precious Metals Market
        date: 2018-12-22
       words: 6330
      flesch: 60
     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.
    keywords: aparch; day; effect; garch; ged; gold; market; models; period; returns; week
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        item: #49 of 102
          id: dem-18610
      author: Górska, Rumiana
       title: Decomposition of Sovereign CDS Spread using the Concept of Factorization
        date: 2018-12-27
       words: 4949
      flesch: 64
     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.
    keywords: analysis; cds; countries; country; debt; decomposition; factor; market; risk; spreads; variables
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        item: #50 of 102
          id: dem-20812
      author: Roy, Sebastian Amit
       title: Demonetisation as an Economic Policy Tool: Macroeconomic Implications of a Monetary Market Shock. The Example of the Indian Monetary Reform
        date: 2019-12-28
       words: 5718
      flesch: 52
     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.
    keywords: cash; cpi; demonetisation; dynamic; india; inflation; models; panel; policy; rbi; reform; run; supply
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        item: #51 of 102
          id: dem-27642
      author: Atinafu, Wondatir
       title: Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach
        date: 2019-12-28
       words: 11028
      flesch: 53
     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.
    keywords: ardl; capital; causality; economic; energy consumption; ethiopia; gdp; granger; growth; hypothesis; model; relationship; result; run; test; variables
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        item: #52 of 102
          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
       words: 4814
      flesch: 58
     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.
    keywords: causality; export; gdp; growth; import; india; run; series; test; time
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        item: #53 of 102
          id: dem-2895
      author: Doman, Małgorzata; Doman, Ryszard
       title: The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession
        date: 2013-12-12
       words: 8463
      flesch: 61
     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.
    keywords: bux; copula; dax; dependence; doman; dynamics; linkages; markets; models; rho; s&p; spearman; stock; strength; tail; wig20
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        item: #54 of 102
          id: dem-2896
      author: Olbryś, Joanna
       title: Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC–3 Markets: EGARCH Based Approach
        date: 2013-12-12
       words: 7072
      flesch: 62
     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.
    keywords: asymmetric; close; doi; egarch; impact; innovations; markets; models; period; returns; stock; trading; volatility
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        item: #55 of 102
          id: dem-2897
      author: Papież, Monika; Śmiech, Sławomir
       title: Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis
        date: 2013-12-12
       words: 6836
      flesch: 53
     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.
    keywords: causality; consumption; countries; efficiency; energy; energy consumption; growth; hypothesis; l l; t l
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        item: #56 of 102
          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
       words: 6153
      flesch: 53
     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.
    keywords: contagion; correlations; index; market; model; period; regime; results; switching; time; value
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        item: #57 of 102
          id: dem-2900
      author: Kapecka, Agnieszka
       title: Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
        date: 2013-12-12
       words: 6438
      flesch: 57
     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.
    keywords: 1995.10–2012.12; analysis; data; dimension; exponent; financial; fractal; function; hurst; hölder; market; models; pointwise; price; series; time; time series; usd; values
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        item: #58 of 102
          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
       words: 5331
      flesch: 52
     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
    keywords: convergence; data; gdp; gdp gdp; growth; models; spatial
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        item: #59 of 102
          id: dem-2902
      author: Czapkiewicz, Anna; Machno, Artur
       title: Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy
        date: 2013-12-12
       words: 5588
      flesch: 49
     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.
    keywords: eastern; europe; global; model; portfolio; region; risk; time; var; vector; western
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        item: #60 of 102
          id: dem-2903
      author: Landmesser, Joanna Małgorzata
       title: Decomposing the Gender Gap in Average Exit Rate from Unemployment
        date: 2013-12-12
       words: 4538
      flesch: 54
     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.
    keywords: analysis; benefits; characteristics; differences; gender; hazard; labor; models; state; unemployment; women
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        item: #61 of 102
          id: dem-2904
      author: Geise, Andrzej; Piłatowska, Mariola
       title: Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies
        date: 2013-12-12
       words: 6920
      flesch: 57
     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)
    keywords: business; business cycle; countries; cycle; economic; markov; models; oil; oil price; poland; price; price cycle; regime; switching; table
       cache: dem-2904.pdf
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        item: #62 of 102
          id: dem-30524
      author: Witkowska, Dorota; Kuźnik, Piotr
       title: Does fundamental strength of the company influence its investment performance?
        date: 2019-12-28
       words: 4550
      flesch: 49
     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.
    keywords: companies; company; investment; measure; return; strength; tmai; values; years
       cache: dem-30524.pdf
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        item: #63 of 102
          id: dem-4187
      author: Doman, Małgorzata
       title: Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
        date: 2010-07-16
       words: 3280
      flesch: 61
     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.
    keywords: data; estimates; liquidity; market; microstructure; microstructure noise; noise; pekao; returns; signal; variance; volatility
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        item: #64 of 102
          id: dem-4189
      author: Bruzda, Joanna
       title: European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
        date: 2010-07-16
       words: 4842
      flesch: 45
     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.
    keywords: analysis; correlations; european; horizons; integration; investment; markets; results; scale; stock; time; wavelet
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        item: #65 of 102
          id: dem-4190
      author: Doman, Ryszard
       title: Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
        date: 2010-07-16
       words: 4669
      flesch: 65
     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.
    keywords: copula; j j; pair
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        item: #66 of 102
          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
       words: 2300
      flesch: 63
     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.
    keywords: companies; correlations; crisis; general; model; motors; series
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        item: #67 of 102
          id: dem-4193
      author: Płuciennik, Piotr
       title: Forecasting Financial Processes by Using Diffusion Models
        date: 2010-07-17
       words: 3485
      flesch: 58
     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.
    keywords: cir; ckls; diffusion; diffusion models; error; forecast; method; models; series; time
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        item: #68 of 102
          id: dem-4194
      author: Górka, Joanna
       title: The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
        date: 2010-07-17
       words: 7624
      flesch: 75
     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 = ).
    keywords: function; garch; loss; models; rca; sign; sign rca; t t; test; var
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        item: #69 of 102
          id: dem-4196
      author: Orzeszko, Witold
       title: Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
        date: 2010-07-17
       words: 3588
      flesch: 68
     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.
    keywords: dependencies; information; measure; series; table; values
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  plain text: dem-4196.txt

        item: #70 of 102
          id: dem-4197
      author: Piłatowska, Mariola
       title: Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
        date: 2010-07-17
       words: 5444
      flesch: 56
     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.
    keywords: aic; ape; ape_se; bic; error; model; p e; prediction; selection; strategy
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        item: #71 of 102
          id: dem-4198
      author: Kwiatkowski, Jacek
       title: Unobserved Component Model for Forecasting Polish Inflation
        date: 2010-07-17
       words: 3218
      flesch: 56
     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.
    keywords: component; cpi; forecasts; inflation; model; polish; test
       cache: dem-4198.pdf
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        item: #72 of 102
          id: dem-4199
      author: Michałek, Anna
       title: The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule
        date: 2010-07-17
       words: 5065
      flesch: 58
     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.
    keywords: gap; gdp; gdp gap; inflation; output; policy; rate; real; rule; taylor
       cache: dem-4199.pdf
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        item: #73 of 102
          id: dem-4200
      author: Piłatowska, Mariola
       title: Combined Forecasts Using the Akaike Weights
        date: 2009-07-18
       words: 4506
      flesch: 57
     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).
    keywords: + +; aic; akaike; combined; forecasts; models; weights
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        item: #74 of 102
          id: dem-4201
      author: Szulc, Elżbieta
       title: Modeling of Dynamic Spatial Processes
        date: 2009-07-18
       words: 3463
      flesch: 57
     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).
    keywords: autocorrelation; gdp; model; spatio; structure; trend; value
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        item: #75 of 102
          id: dem-4202
      author: Bejger, Sylwester
       title: Econometric Tools for Detection of Collusion Equilibrium in the Industry
        date: 2009-07-18
       words: 3741
      flesch: 48
     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.
    keywords: changes; collusion; detection; equilibrium; market; model; price; switching; test; variance
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        item: #76 of 102
          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
       words: 3604
      flesch: 62
     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.
    keywords: fhs; function; garch; loss; models; rca; sign
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        item: #77 of 102
          id: dem-4204
      author: Górecka, Dorota; Śliwicki, Dominik
       title: Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries
        date: 2009-07-18
       words: 3390
      flesch: 48
     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.
    keywords: countries; data; exchange; ii ii; panel; quarter; rate
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        item: #78 of 102
          id: dem-4205
      author: Burzała, Milda Maria
       title: The Synchronization of Regional Business Cycles with Nationwide Cycles
        date: 2009-07-18
       words: 3911
      flesch: 58
     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.
    keywords: analysis; cycles; fluctuations; frequency; months; regions; series; synchronization
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        item: #79 of 102
          id: dem-4206
      author: Kośko, Monika
       title: Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
        date: 2009-07-18
       words: 2677
      flesch: 64
     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.
    keywords: contagion; crisis; effect; markov; models; periods; volatility
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        item: #80 of 102
          id: dem-4207
      author: Pajor, Anna
       title: Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
        date: 2009-07-18
       words: 4232
      flesch: 65
     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)
    keywords: bayesian; box; cox; distribution; model; parameter; transformation; volatility
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        item: #81 of 102
          id: dem-4208
      author: Szajt, Marek
       title: Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods
        date: 2009-07-18
       words: 2798
      flesch: 52
     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.
    keywords: activity; countries; fisher; intercept; model; panel; patent; results; statistic; test
       cache: dem-4208.pdf
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        item: #82 of 102
          id: dem-4209
      author: Włodarczyk, Aneta; Zawada, Marcin
       title: The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland
        date: 2009-07-18
       words: 4265
      flesch: 53
     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.
    keywords: + +; + =; consumption; demand; electricity; energy; factors; model; power; residuals; temperature; test; variables; weather
       cache: dem-4209.pdf
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        item: #83 of 102
          id: dem-4210
      author: Chruściński, Tomasz
       title: The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
        date: 2009-07-18
       words: 2696
      flesch: 53
     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)
    keywords: exchange; f(rs&p500; model; rates; rcac40; rdax; stock
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        item: #84 of 102
          id: dem-4211
      author: Fałdziński, Marcin
       title: Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
        date: 2009-07-18
       words: 3739
      flesch: 64
     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.
    keywords: garch; models; pot; risk; t t
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        item: #85 of 102
          id: dem-4212
      author: Huptas, Roman
       title: Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
        date: 2009-07-18
       words: 4050
      flesch: 54
     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.
    keywords: data; durations; hours; intraday; intraday seasonality; models; seasonality; time; transaction; week
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        item: #86 of 102
          id: dem-4213
      author: Krajewski, Jarosław
       title: Estimating and Forecasting GDP in Poland with Dynamic Factor Model
        date: 2009-07-18
       words: 2469
      flesch: 59
     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.
    keywords: factor; gdp; matrix; model; number; variables
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        item: #87 of 102
          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
       words: 7644
      flesch: 62
     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.
    keywords: groups; quartile; quintile group; returns; structure; table; term; vix; vix futures; vix quintile; vix returns; volatility
       cache: dem-5671.pdf
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        item: #88 of 102
          id: dem-5672
      author: Drzewoszewska, Natalia
       title: Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows
        date: 2015-04-15
       words: 8213
      flesch: 48
     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-
    keywords: costs; countries; country; distance; effects; estimation; flows; gravity; gravity model; importer; model; remoteness; resistance; results; terms; time; trade; variables
       cache: dem-5672.pdf
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        item: #89 of 102
          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
       words: 7908
      flesch: 57
     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.
    keywords: adjustment; capita; cointegration; consumption; ekc; emissions; energy; gas; greenhouse; model; results; run; tar; threshold
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        item: #90 of 102
          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
       words: 7833
      flesch: 64
     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.
    keywords: adjustment; cointegration; countries; france; inflation; models; oil; oil prices; prices; production; relationship; run; threshold
       cache: dem-5674.pdf
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        item: #91 of 102
          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
       words: 4117
      flesch: 66
     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 ...... .
    keywords: causality; crisis; exchange; granger; indices; rate; results; returns; stock; table; test; volatility
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        item: #92 of 102
          id: dem-5676
      author: Kompa, Krzysztof; Witkowska, Dorota
       title: Pension Funds in Poland: Efficiency Analysis for Years 1999–2013
        date: 2015-04-15
       words: 8008
      flesch: 70
     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.
    keywords: bull; funds; market; models; ofe; pension; pension funds; period; poland; portfolio; returns; sharpe; system; years
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        item: #93 of 102
          id: dem-5678
      author: Szulc, Elżbieta; Wleklińska, Dagna; Górna, Karolina; Górna, Joanna
       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
        date: 2015-04-15
       words: 6307
      flesch: 48
     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.
    keywords: convergence; development; distance; exchanges; górna; markets; models; panel; spatial; stock; stock exchanges; stock markets; test
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        item: #94 of 102
          id: dem-5679
      author: Górka, Joanna
       title: Option Pricing under Sign RCA-GARCH Models
        date: 2015-04-15
       words: 4867
      flesch: 61
     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.
    keywords: garch; models; observations; option; prices; pricing; rca; sign; time
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        item: #95 of 102
          id: dem-8573
      author: Szulc, Elżbieta; Wleklińska, Dagna
       title: Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012
        date: 2015-12-28
       words: 6411
      flesch: 48
     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.
    keywords: analysis; convergence; development; distance; exchanges; markets; models; panel; spatial; stock; stock exchanges; test
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        item: #96 of 102
          id: dem-8574
      author: Lenart, Łukasz
       title: Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
        date: 2015-12-28
       words: 6539
      flesch: 63
     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
    keywords: -0,2; 0,0; analysis; case; data; dynamic; fluctuations; frequency; lenart; series; time; working
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        item: #97 of 102
          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
       words: 6718
      flesch: 63
     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.
    keywords: big; companies; day; effect; estimation; liquidity; model; monday; results; shape; stock; trading; turnover; week
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        item: #98 of 102
          id: dem-8589
      author: Mazur, Błażej
       title: Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
        date: 2015-12-28
       words: 6549
      flesch: 44
     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.
    keywords: approach; data; density; disaggregate; forecasting; forecasts; inflation; level; models; performance; polish; restrictions; search
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        item: #99 of 102
          id: dem-8593
      author: Andrzejczak, Katarzyna; Kliber, Agata
       title: The Model of French Development Assistance – Who Gets the Help?
        date: 2016-02-18
       words: 8389
      flesch: 55
     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.
    keywords: african; aid; assistance; cooperation; countries; development; development cooperation; doi; donors; france; french; help; model; policy; statistics; time; value
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        item: #100 of 102
          id: dem-8594
      author: Ratuszny, Ewa
       title: Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts
        date: 2016-02-18
       words: 10054
      flesch: 55
     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.
    keywords: caviar; caviar models; combining; doi; forecasts; journal; level; method; models; position; quantile; risk; taylor; test; value; var; volatility
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        item: #101 of 102
          id: dem-8595
      author: Bejger, Sylwester
       title: Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach
        date: 2016-02-18
       words: 6290
      flesch: 56
     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)?
    keywords: behavior; lotos; market; model; parallel; pkn; players; price; pricing; series; table; test; testing; value
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        item: #102 of 102
          id: dem-8756
      author: Groszkowski, Tomasz; Stryjewski, Tomasz
       title: An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013
        date: 2015-12-28
       words: 3041
      flesch: 39
     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.
    keywords: analysis; capita; development; entrepreneurship; factors; model; tomasz
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