# bib

id: dem-1055
author: Górka, Joanna
title: The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
date: 2012
pages: 6
extension: .pdf
mime: application/pdf
words: 2648
sentence: 127
flesch: 83
cache: cache/dem-1055.pdf
txt: txt/dem-1055.txt
summary:
  − − − (14)                                              


id: dem-4187
author: Doman, Małgorzata
title: Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
date: 2010
pages: 10
extension: .pdf
mime: application/pdf
words: 3282
sentence: 137
flesch: 59
cache: cache/dem-4187.pdf
txt: txt/dem-4187.txt
summary:
  In such a framework an ideal ex post measure of the daily volatility 2 tσ is the integrated variance .)()( 1 2∫ − = t t duutIV σ (4) From the quadratic variation theory it follows that .0 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-1087
author: Müller-Frączek, Iwona; Bernard Pietrzak, Michał
title: Space-Time Modelling of the Unemployment Rate in Polish Poviats
date: 2011
pages: 12
extension: .pdf
mime: application/pdf
words: 4155
sentence: 164
flesch: 53
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-4200
author: Piłatowska, Mariola
title: Combined Forecasts Using the Akaike Weights
date: 2009
pages: 12
extension: .pdf
mime: application/pdf
words: 4505
sentence: 173
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”. The data-generating model of tY has the form: ,,33,22,110 ttttt XXXY εββββ ++++= ),,0(~ εσε Nt ,3,2,1=εσ with parameters: 2,2.1,5.1,10 3210 ==== ββββ , for samples: 50,100=n (number of replications 1000=m ).


id: dem-1064
author: Będowska-Sójka, Barbara
title: The Impact of Macro News on Volatility of Stock Exchanges
date: 2011
pages: 12
extension: .pdf
mime: application/pdf
words: 4362
sentence: 203
flesch: 56
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-1063
author: Fiszeder, Piotr
date: 2011
pages: 12
extension: .pdf
mime: application/pdf
words: 4364
sentence: 169
flesch: 44
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:
  Specifications of Multivariate GARCH Models Eight parameterizations of multivariate GARCH models were applied in the analysis: Scalar BEKK, Integrated, CCC, Orthogonal, DCC, Integrated DCC, DECO-DCC and additionally Scalar BEKK with Student-t innovations. K e y w o r d s: multivariate GARCH models, time-varying covariance matrix, portfolio selection.


id: dem-1056
author: Pietrzak, Michał Bernard; Drzewoszewska, Natalia; Wilk, Justyna
date: 2012
pages: 12
extension: .pdf
mime: application/pdf
words: 4782
sentence: 210
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. Therefore it may be agreed that all accepted variables describe, to some extent, the determi- nants of interregional migration flows in Poland.


id: dem-4189
author: Bruzda, Joanna
title: European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
date: 2010
pages: 16
extension: .pdf
mime: application/pdf
words: 4842
sentence: 165
flesch: 46
cache: cache/dem-4189.pdf
txt: txt/dem-4189.txt
summary:
  Besides, in the case of wavelet correlations the examination was also performed with the Haar wavelet filter3. Comparison of wavelet correlations in subsamples together with the 95% confidence intervals using the LA(8) wavelet filter: 01.2002–04.2004 (–ο–), 05.2004–03.2007 (– –), 04.2007–04.2009(–∗–); thick lines correspond to the later periods Figure 8.


id: dem-1054
author: Krężołek, Dominik
date: 2012
pages: 16
extension: .pdf
mime: application/pdf
words: 4984
sentence: 268
flesch: 55
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-1057
author: Szulc, Elżbieta
date: 2011
pages: 16
extension: .pdf
mime: application/pdf
words: 5885
sentence: 284
flesch: 56
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 II b) Full model:    Characteristics of quasi-congruent models for sub-regions – variant II b) Full model:   


id: dem-2898
author: Burzała, Milda Maria
title: Determination of the Time of Contagion in Capital Markets Based on the Switching Model
date: 2013
pages: 18
extension: .pdf
mime: application/pdf
words: 6144
sentence: 277
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-1065
author: Kliber, Agata
title: Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
date: 2011
pages: 18
extension: .pdf
mime: application/pdf
words: 6131
sentence: 295
flesch: 63
cache: cache/dem-1065.pdf
txt: txt/dem-1065.txt
summary:
  In case of the second moment dependency, it is again Polish CDS volatility that influences the vola- tility of the Czech CDS (parameter 21 ). The results are clear: there is a strong causality from Polish CDS volatility to the volatility of the rest CDS prices.


id: dem-2904
author: Geise, Andrzej; Piłatowska, Mariola
date: 2013
pages: 20
extension: .pdf
mime: application/pdf
words: 6917
sentence: 288
flesch: 56
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:
  Concordance index for oil price cycle and business cycle for given econo- mies Crude oil price cycle vs. business cycle Czech Republic Poland Hungary Slovenia Concordance index 0.7143 0.6866 0.7051 0.7235 To evaluate synchronization of business cycle for different economies and oil price cycle the concordance index was applied. 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.


id: dem-1049
author: Blangiewicz, Maria; Miłobędzki, Paweł
title: The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates
date: 2012
pages: 14
extension: .pdf
mime: application/pdf
words: 6343
sentence: 236
flesch: 64
cache: cache/dem-1049.pdf
txt: txt/dem-1049.txt
summary:
  (2) into the unanticipated change (‘sur- prise’) in the one-period holding period return, ( ) ( ) ( ) 1 1 1 n n n t t t teh h E h+ + += − , gives (Tzavalis, Wickens, 1997): ( ) ( ) ( ) ( ) ( ) ( ) ( )1 11 1 1 1 1 1 11 1 n nn n i n t t t t i t t t (1) result in: ( ) ( ) ( ) ( )1 1 0 1 nn n t t t i ti R n E R− += = + Θ∑ , (2) where ( ) ( ) ( )1 0 1 nn n i t t t ii n Eθ− − += Θ = ∑ .


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
pages: 20
extension: .pdf
mime: application/pdf
words: 6444
sentence: 330
flesch: 63
cache: cache/dem-1052.pdf
txt: txt/dem-1052.txt
summary:
  In incomplete markets replication strategies may not exist and pricing of derivatives is not an easy task. Therefore, and on a more statistical note, estimators of JD(M)J model parameters could be treated as approximations of the Merton model parameters.


id: dem-1059
author: Pajor, Anna
title: Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
date: 2011
pages: 14
extension: .pdf
mime: application/pdf
words: 6391
sentence: 200
flesch: 60
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 Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model 43 In (4) A is a free symmetric positive definite matrix of order n; for A-1 we as- sume the Wishart prior with n degrees of freedom and mean In; β and γ are free scalar parameters, jointly uniformly distributed over the unit simplex.


id: dem-2899
author: Kliber, Agata; Będowska-Sójka, Barbara
date: 2013
pages: 20
extension: .pdf
mime: application/pdf
words: 6738
sentence: 317
flesch: 66
cache: cache/dem-2899.pdf
txt: txt/dem-2899.txt
title:
  Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads

summary:
  Moreover, 0, 0, 0.i iω α β> ≥ ≥ In Section 3 we use AR(1)–FIGARCH(1,d,1) model with specification given by Chung (1999): 1 1 , ,t t t t t We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads.


id: dem-1060
author: Bień-Barkowska, Katarzyna
title: Distribution Choice for the Asymmetric ACD Models
date: 2011
pages: 18
extension: .pdf
mime: application/pdf
words: 8121
sentence: 500
flesch: 74
cache: cache/dem-1060.pdf
txt: txt/dem-1060.txt
summary:
                                                     Order durations are defined as time intervals between subsequent moments of order submissions.


id: dem-4193
author: Płuciennik, Piotr
title: Forecasting Financial Processes by Using Diffusion Models
date: 2010
pages: 10
extension: .pdf
mime: application/pdf
words: 3485
sentence: 153
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-4192
author: Łęt, Blanka
title: Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
date: 2010
pages: 8
extension: .pdf
mime: application/pdf
words: 2298
sentence: 124
flesch: 61
cache: cache/dem-4192.pdf
txt: txt/dem-4192.txt
summary:
  K e y w o r d s: DiagBEKK model, dynamic conditional correlation. 1. Introduction General Motors, Ford and Chrysler, known as the Detroit’s Big Three, are the major companies of American automotive industry.


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
pages: 18
extension: .pdf
mime: application/pdf
words: 5332
sentence: 218
flesch: 51
cache: cache/dem-2901.pdf
txt: txt/dem-2901.txt
summary:
  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 K e y w o r d s: economic convergence, spatial effects, connectivity matrix, spatial panel models.


id: dem-1068
author: Bejger, Sylwester; Bruzda, Joanna
title: Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis
date: 2011
pages: 16
extension: .pdf
mime: application/pdf
words: 6096
sentence: 196
flesch: 50
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 Estimating the Location of Variance Change k ~ , for which the appropriate expressions in test statistics reach their max- imum As mentioned earlier, it is necessary to base the estimation of the location of variance change on the coefficients tjW , ~ of the non-decimated wavelet trans- formation.


id: dem-1076
author: Kliber, Paweł
title: Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
date: 2011
pages: 14
extension: .pdf
mime: application/pdf
words: 4764
sentence: 272
flesch: 67
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-1062
author: Doman, Małgorzata; Doman, Ryszard
title: The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market
date: 2011
pages: 14
extension: .pdf
mime: application/pdf
words: 5050
sentence: 227
flesch: 58
cache: cache/dem-1062.pdf
txt: txt/dem-1062.txt
summary:
  Dynamic copula correlations from DCC-t-copula model The estimates of dynamic copula correlations obtained for the pair S&P500- WIG20 are much lower but show similar pattern as in the previous case – the dynamics of the conditional copula correlations is strong but it does not depend significantly on the choice of currency. 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.


id: dem-1058
author: Piłatowska, Mariola
title: Information and Prediction Criteria in Selecting the Forecasting Model
date: 2011
pages: 20
extension: .pdf
mime: application/pdf
words: 4933
sentence: 171
flesch: 49
cache: cache/dem-1058.pdf
txt: txt/dem-1058.txt
summary:
  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) Accuracy measures for one-step-ahead forecasts of IP from different models in the period 2011:01−2011:06 − version II Accuracy measures n=40 n=60 n=80 ARIMA AR RW ARIMA AR RW ARIMA AR RW RMSE 2916.6 2908.4 3411.8 2716.42 2863.65 3386.73 2787.6 2697.1 3395.6 U 0.731 0.727 1.000 0.643 0.715 1.000 0.674 0.631 1.00 MAPE (%) 2.390 2.460 3.510 2.12% 2.210 3.500 2.220 1.990 3.520 For the window of 60 and 80 observations the ARIMA model and AR model give the smallest prediction errors.


id: dem-4190
author: Doman, Ryszard
title: Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
date: 2010
pages: 12
extension: .pdf
mime: application/pdf
words: 4668
sentence: 200
flesch: 64
cache: cache/dem-4190.pdf
txt: txt/dem-4190.txt
summary:
  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)


id: dem-2896
author: Olbryś, Joanna
date: 2013
pages: 18
extension: .pdf
mime: application/pdf
words: 7055
sentence: 319
flesch: 61
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-2903
author: Landmesser, Joanna Małgorzata
title: Decomposing the Gender Gap in Average Exit Rate from Unemployment
date: 2013
pages: 12
extension: .pdf
mime: application/pdf
words: 4538
sentence: 195
flesch: 51
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)). The structure of unemployment episodes by selected characteristics Characteristics All persons Women Men Age-group 17–24 years old 3068 30.3% 1512 31.6% 1556 29.2% 25–34 years old 2755 27.2% 1353 28.3% 1402 26.3% 35– 44 years old 2408 23.8% 1200 25.1% 1208 22.7% 45–54 years old 1742 17.2% 699 14.6% 1043 19.6% over 55 years old 145 1.4% 22 0.5% 123 2.3% Education level tertiary 767 7.6% 517 10.8% 250 4.7% vocational secondary 1957 19.3% 1170 24.4% 787 14.8% general secondary 710 7.0% 516 10.8% 194 3.6% basic vocational 3100 30.6% 1240 25.9% 1860 34.9% lower second.


id: dem-2900
author: Kapecka, Agnieszka
title: Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
date: 2013
pages: 20
extension: .pdf
mime: application/pdf
words: 6429
sentence: 236
flesch: 54
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-4196
author: Orzeszko, Witold
title: Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
date: 2010
pages: 10
extension: .pdf
mime: application/pdf
words: 3588
sentence: 150
flesch: 66
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. Values of ki for M5s and M5 k series 1 2 3 4 5 6 7 8 9 10 M5s 1.4787 0.0000 1.1206 0.0000 0.9817 0.0000 0.8640 0.0000 0.7505 0.0000 0.6895 0.0000 0.6344 0.0000 0.6310 0.0000 0.6173 0.0000 0.6070 0.0000 M5s_ diff 0.1390 0.5519 0.1658 0.1199 0.1288 0.7509 0.1438 0.4542 0.1496 0.3452 0.2012 0.0039 0.1642 0.1351 0.1297 0.7340 0.1161 0.9125 0.1387 0.5560 M5s_ diffMA 0.1224 0.7971 0.1584 0.1595 0.1225 0.7942 0.1242 0.7668 0.1444 0.3745 0.1391 0.4816 0.1624 0.1193 0.1510 0.2584 0.1495 0.2821 0.1474 0.3179 M5 1.7145 0.0000 1.3154 0.0000 1.0949 0.0000 0.9504 0.0000 0.8414 0.0000 0.7597 0.0000 0.6958 0.0000 0.6449 0.0000 0.5917 0.0000 0.5584 0.0000 M5ARMA 0.0422 0.2714 0.0375 0.6530 0.0417 0.3103 0.0412 0.3438 0.0355 0.8012 0.0396 0.4685 0.0419 0.2963 0.0486 0.0398 0.0434 0.2030 0.0397 0.4640 In Tables 7-8 the results of nonlinearity detection carried out by the MI measure are summarized.


id: dem-1066
author: Osińska, Magdalena
title: On the Interpretation of Causality in Granger’s Sense
date: 2011
pages: 12
extension: .pdf
mime: application/pdf
words: 4610
sentence: 217
flesch: 58
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-1067
author: Bruzda, Joanna
title: The Haar Wavelet Transfer Function Model and Its Applications
date: 2011
pages: 14
extension: .pdf
mime: application/pdf
words: 5152
sentence: 177
flesch: 59
cache: cache/dem-1067.pdf
txt: txt/dem-1067.txt
summary:
  Estimation results of transfer function models for logarithmic returns on WIG Variable Coefficient Standard error z-statistic p-value Model I Equation for the conditional mean S&P 0.312 0.019 16.49 0.0000 S&P(-1) 0.235 0.020 11.65 0.0000 S&P(-2) 0.073 0.020 3.640 0.0003 MA(2) -0.091 0.049 -1.846 0.0649 MA(6) -0.124 0.044 -2.807 0.0050 Equation for the conditional variance C 1.49E-06 1.25E-06 1.195 0.2320 RESID(-1)^2 0.068 0.019 3.671 0.0002 GARCH(-1) 0.926 0.019 48.08 0.0000 adj. It is also worth emphasizing that forecasting with the Haar wave- let transfer function models is no more complicated than in the case of standard transfer function models.


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
pages: 16
extension: .pdf
mime: application/pdf
words: 6229
sentence: 249
flesch: 53
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-4202
author: Bejger, Sylwester
title: Econometric Tools for Detection of Collusion Equilibrium in the Industry
date: 2009
pages: 12
extension: .pdf
mime: application/pdf
words: 3741
sentence: 159
flesch: 47
cache: cache/dem-4202.pdf
txt: txt/dem-4202.txt
summary:
  In accordance with known tacit collusion models: 1. the player’s (players’) price and supply are negatively correlated, the price is ahead of the demand cycle, the stochastic process of market price under- goes changes of the regime type (Green, Porter, 1984; Rotemberg, Salon- er, 1986; Haltiwanger, Harrington, 1991), 2. 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-4211
author: Fałdziński, Marcin
title: Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
date: 2009
pages: 10
extension: .pdf
mime: application/pdf
words: 3733
sentence: 131
flesch: 61
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 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-2895
author: Doman, Małgorzata; Doman, Ryszard
date: 2013
pages: 28
extension: .pdf
mime: application/pdf
words: 8459
sentence: 374
flesch: 62
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:
  What is more, using copulas models allows to leave behind the class of elliptical distributions. Our tool to model the dynamics of dependencies were Markov- switching copula models.


id: dem-2897
author: Papież, Monika; Śmiech, Sławomir
date: 2013
pages: 18
extension: .pdf
mime: application/pdf
words: 6833
sentence: 305
flesch: 51
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:
  Gurgul and Lach (2011b) found that energy consumption Granger caused GDP in Poland during the last dec- ade. Apergis and Danuletiu (2012) showed that energy consumption Granger caused GDP in Romania in the period 2000- 2011.


id: dem-1080
author: Olbryś, Joanna
date: 2011
pages: 18
extension: .pdf
mime: application/pdf
words: 8174
sentence: 286
flesch: 61
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:
  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) N o. P5 P6 P7 P8 T-M H-M T-M H-M T-M H-M T-M H-M LM LB LM LB LM LB LM LB LM LB LM LB LM LB LM LB 1 + + + + + + + + + + + + + + + + 2 + + + + - + - + - + - + + + + + 3 + - + - + - + - - - - - + - + - 4 + + + + + - + - + - + - - + - + 5 + + + + + + + + + + + + + + + + 6 + + + + + + + + + + + + - - - - 7 + + + + + + + + + + + + + - + - 8 + - + - + - + - + + + + - - - - 9 + - + - + - + - + - + - + - + - 10 + + + + + + + + + + + + + + + + 11 + - + - + - + - + - + - - - - - 12 + + + + + + + + + - + - - - - - 13 + - + - + - + - + + + + + + + + 14 + + + + + + + + + + + + + + + + 15 + + + + + + + + + + + + + + + + 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.


id: dem-2902
author: Czapkiewicz, Anna; Machno, Artur
date: 2013
pages: 18
extension: .pdf
mime: application/pdf
words: 5588
sentence: 264
flesch: 47
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-4198
author: Kwiatkowski, Jacek
title: Unobserved Component Model for Forecasting Polish Inflation
date: 2010
pages: 10
extension: .pdf
mime: application/pdf
words: 3223
sentence: 154
flesch: 57
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-4206
author: Kośko, Monika
title: Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
date: 2009
pages: 8
extension: .pdf
mime: application/pdf
words: 2682
sentence: 127
flesch: 62
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-4213
author: Krajewski, Jarosław
title: Estimating and Forecasting GDP in Poland with Dynamic Factor Model
date: 2009
pages: 8
extension: .pdf
mime: application/pdf
words: 2463
sentence: 131
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-4203
author: Górka, Joanna
title: Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
date: 2009
pages: 12
extension: .pdf
mime: application/pdf
words: 3602
sentence: 156
flesch: 65
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-8756
author: Groszkowski, Tomasz; Stryjewski, Tomasz
date: 2015
pages: 10
extension: .pdf
mime: application/pdf
words: 3041
sentence: 131
flesch: 38
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. Entrepreneurship and businesses are also stimulating factors for growth, and the number of enterprises is frequently considered to be an indi- cator of economic development.


id: dem-4197
author: Piłatowska, Mariola
title: Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
date: 2010
pages: 14
extension: .pdf
mime: application/pdf
words: 5416
sentence: 216
flesch: 59
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-4208
author: Szajt, Marek
title: Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods
date: 2009
pages: 8
extension: .pdf
mime: application/pdf
words: 2793
sentence: 113
flesch: 50
cache: cache/dem-4208.pdf
txt: txt/dem-4208.txt
summary:
  However, taking into account the remarks of Pedroni, we find the results of ADF tests as the more appropriate ones, which reject the H0. However, taking into account the remarks of Pedroni, we find the results of ADF test which indicate the rejection of H0 as more appropriate.


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
pages: 24
extension: .pdf
mime: application/pdf
words: 7644
sentence: 360
flesch: 62
cache: cache/dem-5671.pdf
txt: txt/dem-5671.txt
summary:
  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


id: dem-4199
author: Michałek, Anna
date: 2010
pages: 14
extension: .pdf
mime: application/pdf
words: 5060
sentence: 209
flesch: 57
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. The article mentions only the matter of influ- ence of calculating the potential GDP and output gap on the empirical relevance of the Taylor rule.


id: dem-8573
author: Szulc, Elżbieta; Wleklińska, Dagna
date: 2015
pages: 22
extension: .pdf
mime: application/pdf
words: 6410
sentence: 244
flesch: 50
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:
  K e y w o r d s: stock exchanges, convergence, spatial regimes, physical and economic dis- tance, connectivity matrix, spatial panel models. The same classes of models were used previously (Szulc et al., 2014).The premises for the application of spatial models are as follows:


id: dem-4205
author: Burzała, Milda Maria
title: The Synchronization of Regional Business Cycles with Nationwide Cycles
date: 2009
pages: 12
extension: .pdf
mime: application/pdf
words: 3908
sentence: 133
flesch: 52
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-4207
author: Pajor, Anna
title: Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
date: 2009
pages: 10
extension: .pdf
mime: application/pdf
words: 4222
sentence: 170
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-4212
author: Huptas, Roman
title: Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
date: 2009
pages: 10
extension: .pdf
mime: application/pdf
words: 4044
sentence: 165
flesch: 51
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 Roman Huptas 134 The basic descriptive statistics of transaction durations for the shares in question are illustrated in Table 1.


id: dem-8588
author: Nowak, Sabina; Olbryś, Joanna
title: Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
date: 2015
pages: 22
extension: .pdf
mime: application/pdf
words: 6717
sentence: 338
flesch: 65
cache: cache/dem-8588.pdf
txt: txt/dem-8588.txt
summary:
  Barely for 2 companies (BPH and MIL) we can venture the conclusion of the existence of the ‘full inverted U-shape’ in daily turnover (involving Monday, Wednesday and Friday effect at the same time). 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.


id: dem-4201
author: Szulc, Elżbieta
title: Modeling of Dynamic Spatial Processes
date: 2009
pages: 10
extension: .pdf
mime: application/pdf
words: 3462
sentence: 139
flesch: 55
cache: cache/dem-4201.pdf
txt: txt/dem-4201.txt
summary:
  The models of the form (8) are named spatial lag models with regard to the presence of the spatial shifted dependent variable W(GDPi). Investigating the Trend Structure In the investigations of spatial trends the hypothesis of two-dimensional polynomial trend was used.


id: dem-11736
author: Fałdziński, Marcin; Osińska, Magdalena
title: Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets
date: 2016
pages: 16
extension: .pdf
mime: application/pdf
words: 5688
sentence: 276
flesch: 65
cache: cache/dem-11736.pdf
txt: txt/dem-11736.txt
summary:
  However in the literature one can find several individual cases of little linkages between different markets. In our publication we demonstrate that thanks to the extreme value theory only big shocks on financial markets, that may or may not cause contagion, are considered.


id: dem-4209
author: Włodarczyk, Aneta; Zawada, Marcin
date: 2009
pages: 12
extension: .pdf
mime: application/pdf
words: 4263
sentence: 172
flesch: 56
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:
  d < 1, 0 1 , >+∑ = r k tkk xωω , P PBBB φφφ −−−= ...1)( 1 , Q Q BBB θθθ +++= ...1)( 1 , q qBBB ϕϕϕ −−−= ...1)( 1 , p pBBB βββ ++= ...)( 1 . Introduction to the equation of conditional variance of regressor, which is a variability of weather factors or dummy variables which model periodicity of variance enables to connect dynamics of variability of energy consumption with variability of weather conditions of different structure of energy consumers in working days and holidays. Moral-Carcedo, Vicéns – Otero (2005) have constructed the following models in order to describe the non-linear relation between the energy con- sumption and air temperature: a) switch regression model ,tSttStt TMPFE εβμ ++= (7) b) threshold regression model [ ] [ ] ( ) , )


id: dem-8589
author: Mazur, Błażej
title: Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
date: 2015
pages: 18
extension: .pdf
mime: application/pdf
words: 6569
sentence: 287
flesch: 44
cache: cache/dem-8589.pdf
txt: txt/dem-8589.txt
summary:
  Individual predictive models are chosen based on say goodness of fit for the individual series. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.


id: dem-5679
author: Górka, Joanna
title: Option Pricing under Sign RCA-GARCH Models
date: 2015
pages: 16
extension: .pdf
mime: application/pdf
words: 4873
sentence: 200
flesch: 61
cache: cache/dem-5679.pdf
txt: txt/dem-5679.txt
summary:
  K e y w o r d s: Sign RCA-GARCH models, option pricing, GARCH models. Option Pricing under Sign RCA-GARCH Models DYNAMIC ECONOMETRIC MODELS 14 (2014) 145–160 147 models as far as we know has not been applied in option pricing except the work by Górka (2012).


id: dem-5673
author: Piłatowska, Mariola; Włodarczyk, Aneta; Zawada, Marcin
title: The Environmental Kuznets Curve in Poland – Evidence from Threshold Cointegration Analysis
date: 2015
pages: 20
extension: .pdf
mime: application/pdf
words: 7806
sentence: 344
flesch: 56
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. 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 consumption3 ( tE ) in kilo of oil equivalent per capita in Poland.


id: dem-4210
author: Chruściński, Tomasz
title: The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
date: 2009
pages: 8
extension: .pdf
mime: application/pdf
words: 2700
sentence: 111
flesch: 51
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-4194
author: Górka, Joanna
title: The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
date: 2010
pages: 22
extension: .pdf
mime: application/pdf
words: 7623
sentence: 351
flesch: 72
cache: cache/dem-4194.pdf
txt: txt/dem-4194.txt
summary:
  The aim of this paper is to use the family of Sign RCA models to obtain the VaR forecasts and compare the results obtained from Sign RCA models with other selected VaR models. (2) The sign function, described by the following formula 1 for 0, 0 for 0, 1 for 0, t t t t y s y y >⎧ ⎪= =⎨ ⎪− <⎩ (3) 2 Theoretical properties of the family of Sign RCA models can be found in articles, i.e.: Appadoo, Thavaneswaran, Singh (2006), Aue (2004), Górka, (2008), Thavaneswaran, Appadoo, Bector (2006), Thavaneswaran, Appadoo (2006), Thavaneswaran, Appadoo, Ghahramani, (2009), Thavaneswaran, Peiris, Appadoo (2008).


id: dem-5675
author: Syczewska, Ewa M.
title: The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis
date: 2015
pages: 12
extension: .pdf
mime: application/pdf
words: 4113
sentence: 210
flesch: 63
cache: cache/dem-5675.pdf
txt: txt/dem-5675.txt
summary:
  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 ...... . Additional computations for the instantaneous causality in the linear framework show that there is a feedback between all pairs of logarithmic returns and indicate Granger causality also for the volatility measure, even before the crisis (see Table 4 and 6).


id: dem-5674
author: Geise, Andrzej; Piłatowska, Mariola
title: Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
date: 2015
pages: 22
extension: .pdf
mime: application/pdf
words: 7832
sentence: 424
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-5678
author: Szulc, Elżbieta; Wleklińska, Dagna; Górna, Karolina; Górna, Joanna
date: 2015
pages: 20
extension: .pdf
mime: application/pdf
words: 6306
sentence: 246
flesch: 49
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-5672
author: Drzewoszewska, Natalia
date: 2015
pages: 22
extension: .pdf
mime: application/pdf
words: 8215
sentence: 349
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- er’s remoteness are used as an alternative for including time-varying country effects.


id: dem-18579
author: Olbryś, Joanna
title: The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
date: 2018
pages: 13
extension: .pdf
mime: application/pdf
words: 5060
sentence: 219
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-1051
author: Bień-Barkowska, Katarzyna
title: “Does It Take Volume to Move the EUR/PLN FX Rates?” Evidence from Quantile Regressions
date: 2012
pages: 18
extension: .pdf
mime: application/pdf
words: 7016
sentence: 285
flesch: 51
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-5676
author: Kompa, Krzysztof; Witkowska, Dorota
title: Pension Funds in Poland: Efficiency Analysis for Years 1999–2013
date: 2015
pages: 20
extension: .pdf
mime: application/pdf
words: 8010
sentence: 259
flesch: 56
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-4204
author: Górecka, Dorota; Śliwicki, Dominik
date: 2009
pages: 10
extension: .pdf
mime: application/pdf
words: 3390
sentence: 111
flesch: 49
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-11740
author: Geise, Andrzej; Piłatowska, Mariola
date: 2016
pages: 22
extension: .pdf
mime: application/pdf
words: 8212
sentence: 333
flesch: 58
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-8574
author: Lenart, Łukasz
title: Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
date: 2015
pages: 22
extension: .pdf
mime: application/pdf
words: 6527
sentence: 265
flesch: 66
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. 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


id: dem-11737
author: Stawicki, Józef
date: 2016
pages: 12
extension: .pdf
mime: application/pdf
words: 2885
sentence: 137
flesch: 63
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:
  Constructing Markov Chain model begins with a precise determination of states. Another very important stage in the construction of Markov Chain model is the choice of an estimation method.


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
pages: 13
extension: .pdf
mime: application/pdf
words: 5225
sentence: 209
flesch: 50
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-11731
author: Schabek, Tomasz; Castro, Henrique
title: “Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
date: 2016
pages: 14
extension: .pdf
mime: application/pdf
words: 5292
sentence: 223
flesch: 55
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. In this part we tested returns directly 6 Like in Baker and Wurgler sentiment index, that is based exclusively on market data.


id: dem-8595
author: Bejger, Sylwester
date: 2016
pages: 18
extension: .pdf
mime: application/pdf
words: 6290
sentence: 285
flesch: 55
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-15805
author: Witkowska, Dorota; Kompa, Krzysztof
title: How the Change of Governing Party Influences the Efficiency of Financial Market in Poland
date: 2017
pages: 13
extension: .pdf
mime: application/pdf
words: 4609
sentence: 170
flesch: 50
cache: cache/dem-15805.pdf
txt: txt/dem-15805.txt
summary:
  Values of the efficiency measures evaluated for mutual funds before and after both rounds of presidential election Ratio: Sharpe Treynor (β Sharpe) Treynor (β CAPM) 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. The aim of our research is to investigate the changes occurred on the market, represented by some stable growth open mutual funds, and stock indexes: WIG and TBSP.


id: dem-8593
author: Andrzejczak, Katarzyna; Kliber, Agata
title: The Model of French Development Assistance – Who Gets the Help?
date: 2016
pages: 22
extension: .pdf
mime: application/pdf
words: 8387
sentence: 385
flesch: 54
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-14658
author: Kaczmarczyk, Paweł
title: Microeconometric Analysis of Telecommunication Services Market with the use of SARIMA Models
date: 2017
pages: 17
extension: .pdf
mime: application/pdf
words: 4934
sentence: 239
flesch: 44
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-13561
author: Aslan, Goksu
title: The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach
date: 2017
pages: 21
extension: .pdf
mime: application/pdf
words: 8082
sentence: 376
flesch: 51
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-27776
author: Devkota, Mitra Lal
title: Impact of Export and Import on Economic Growth: Time Series Evidence from India
date: 2019
pages: 12
extension: .pdf
mime: application/pdf
words: 4814
sentence: 282
flesch: 58
cache: cache/dem-27776.pdf
txt: txt/dem-27776.txt
summary:
  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. This paper differs from the existing literature on the study of cointegration and causality relationships between export, import, and economic growth in India in several ways.


id: dem-18441
author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
date: 2018
pages: 13
extension: .pdf
mime: application/pdf
words: 5557
sentence: 231
flesch: 46
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. Enterprise Profitability in the Light of the Positional and the Resource-related Concept of the Competitive Advantage 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-8594
author: Ratuszny, Ewa
date: 2016
pages: 28
extension: .pdf
mime: application/pdf
words: 10088
sentence: 387
flesch: 54
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.


id: dem-15617
author: Warżała, Rafał
title: Business Cycles Variability in Polish Regions in the Years 2000 – 2016
date: 2017
pages: 13
extension: .pdf
mime: application/pdf
words: 5075
sentence: 234
flesch: 50
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. The issue of regional business cycles divergence is important by two reasons.


id: dem-18610
author: Górska, Rumiana
title: Decomposition of Sovereign CDS Spread using the Concept of Factorization
date: 2018
pages: 16
extension: .pdf
mime: application/pdf
words: 4944
sentence: 250
flesch: 61
cache: cache/dem-18610.pdf
txt: txt/dem-18610.txt
summary:
  For example, on 29.11.2013 sovereign CDS spreads for five-year bonds in basis points was: for Poland 82.48; Germany 23.56; Spain 153.5; Portugal 341.4. Sovereign CDS spread depends both on the so-called economic funda- mentals (i.e. macroeconomic variables such as level of indebtedness, debt structure, the cost of servicing the debt, debt to GDP relation, the rate of GDP growth etc.), as well as global factors (global financial market conditions, mar- ket liquidity, investor expectations etc.).


id: dem-30524
author: Witkowska, Dorota; Kuźnik, Piotr
title: Does fundamental strength of the company influence its investment performance?
date: 2019
pages: 13
extension: .pdf
mime: application/pdf
words: 4551
sentence: 198
flesch: 50
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-20812
author: Roy, Sebastian Amit
date: 2019
pages: 16
extension: .pdf
mime: application/pdf
words: 5703
sentence: 362
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). Demonetisation impact on the GDP has been widely discussed since the very first days of the reform, with the earliest paper tackling this issue being that of Rao, Mukherjee, Kumar et al. (2016) published five days from the re- form commencement.


id: dem-11858
author: Szulc, Elzbieta; Górna, Karolina; Wleklińska, Dagna
date: 2016
pages: 23
extension: .pdf
mime: application/pdf
words: 7609
sentence: 230
flesch: 45
cache: cache/dem-11858.pdf
txt: txt/dem-11858.txt
title:
  The Share of European Economies in the Process of Convergence of Long-term Interest Rates in the EU in the Period of 2006–2016

summary:
  The existing literature confirms an occurrence of convergence processes of long-term interest rates during the period of preparation of particular countries to adopt the common currency and introduce it into circulation (Adam et al., 2002; Pagano and von Thadden, 2004). K e y w o r d s: long term interest rates; process of convergence; fiscal stability; panel data models; matrix of economic connections.


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
pages: 20
extension: .pdf
mime: application/pdf
words: 6927
sentence: 309
flesch: 58
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-11745
author: Szetela, Beata; Mentel, Grzegorz; Gędek, Stanisław
title: Dependency Analysis between Bitcoin and Selected Global Currencies
date: 2016
pages: 12
extension: .pdf
mime: application/pdf
words: 4585
sentence: 217
flesch: 53
cache: cache/dem-11745.pdf
txt: txt/dem-11745.txt
summary:
  Bouoiyour, J., Selmi, R. (2015), Bitcoin Price: Is it really that New Round of Volatility can be on way?, MPRA Paper 65580, University Library of Munich, Germany. Dopierała, Ł., Borodo, A. (2014), Znaczenie waluty kryptograficznej Bitcoin jako środka wymiany (The importance of cryptographic currency Bitcoin as a medium of ex- change), Contemporary Economy Electronic Scientific Journal, 5(2), 1–12.


id: dem-11741
author: Włodarczyk, Aneta; Otola, Iwona
date: 2016
pages: 30
extension: .pdf
mime: application/pdf
words: 11019
sentence: 413
flesch: 42
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:
  Conclusions The analysis of relationships between market volatility and volatility of en- terprises from the construction and IT sectors has shown that there is not an increase in the fractions of firms, for which their share volatility in a signifi- cant and positive way was connected with stock market volatility in the pe- riod corresponding to the subprime crisis and the debt crisis in the Euro zone. 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-11733
author: Bruzda, Joanna
date: 2016
pages: 16
extension: .pdf
mime: application/pdf
words: 7858
sentence: 280
flesch: 65
cache: cache/dem-11733.pdf
txt: txt/dem-11733.txt
title:
  Quantile Forecasting in Operational Planning and Inventory Management – an Initial Empirical Verification

summary:
  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. Among other characteristics of quantile predictions in operational plan- ning are the following:  computation of quantile forecasts for a range of quantiles instead of just extreme quantiles,  simultaneous forecasting of a large number of univariate time series and, due to this, the focus on simplified methods  forecasting based on relatively short time series  the need to simultaneously model the conditional mean and conditional variance of time series  the necessity to compute long-term quantile forecasts or, alternatively, quantile forecasts for different sampling rates.


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
pages: 16
extension: .pdf
mime: application/pdf
words: 4590
sentence: 180
flesch: 60
cache: cache/dem-14954.pdf
txt: txt/dem-14954.txt
summary:
  Ching, W., Ng, M. K. (2006), Markov chains Models, Algorithms and Applications, Springer Science+Business Media. 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).


id: dem-18608
author: Krężołek, Dominik
title: Testing Day of the Week Effect on Precious Metals Market
date: 2018
pages: 17
extension: .pdf
mime: application/pdf
words: 6321
sentence: 243
flesch: 57
cache: cache/dem-18608.pdf
txt: txt/dem-18608.txt
summary:
  K e y w o r d s: APARCH model; day of the week; GARCH model; precious metals; time se- ries. The estimation of unknown parameters of APARCH model is usually conducted using the MLE.


id: dem-1050
author: Witkowska, Dorota; Kompa, Krzysztof; Matuszewska-Janica, Aleksandra
title: Analysis of Linkages between Central and Eastern European Capital Markets
date: 2012
pages: 16
extension: .pdf
mime: application/pdf
words: 6450
sentence: 240
flesch: 57
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. 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-15326
author: Bernardelli, Michal; Próchniak, Mariusz; Witkowski, Bartosz
title: The Application of Hidden Markov Models to the Analysis of Real Convergence
date: 2017
pages: 22
extension: .pdf
mime: application/pdf
words: 9560
sentence: 352
flesch: 59
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-11738
author: Różański, Jerzy; Sekuła, Paweł
title: Determinants of Foreign Direct Investment in Developed and Emerging Markets
date: 2016
pages: 16
extension: .pdf
mime: application/pdf
words: 6190
sentence: 289
flesch: 49
cache: cache/dem-11738.pdf
txt: txt/dem-11738.txt
summary:
  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-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
pages: 18
extension: .pdf
mime: application/pdf
words: 6402
sentence: 254
flesch: 50
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-15481
author: Włodarczyk, Aneta
title: Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS
date: 2017
pages: 17
extension: .pdf
mime: application/pdf
words: 6065
sentence: 194
flesch: 41
cache: cache/dem-15481.pdf
txt: txt/dem-15481.txt
summary:
  Following Liu and Chen (2014), in this article Markov regime switching models are used to describe the time-varying un- certainty set of the first and second order moments, which are related to two main characteristics of investments in the EUAA futures, namely expected profits and risk. On this basis, the time series of the EUAAs returns have been divided into observations generated in different volatility regimes, and then risk measures (1)–(6) have been estimated for each sub-sample.


id: dem-16103
author: Sharma, Shravani; Kumar, Supran
date: 2018
pages: 30
extension: .pdf
mime: application/pdf
words: 12779
sentence: 468
flesch: 42
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:
  K e y w o r d s: causality; economic growth; financial development; panel data; unit root. So, development Dynamics of financial development and economic growth: panel data analysis… DYNAMIC ECONOMETRIC MODELS 18 (2018)


id: dem-15819
author: Będowska-Sójka, Barbara
title: Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
date: 2017
pages: 16
extension: .pdf
mime: application/pdf
words: 6077
sentence: 253
flesch: 54
cache: cache/dem-15819.pdf
txt: txt/dem-15819.txt
summary:
  The estimates of beta for BZW and CDR Note: Beta estimates shown in the figure are the following: BEKK stands for conditional beta from MGARCH scalar BEKK models, DCC stands for conditional beta from MGARCH DCC model and UC stands for time-varying beta from unobserved component model. The Evidence from Poland DYNAMIC ECONOMETRIC MODELS 17 (2017) 161–176 169 We also calculate correlation coefficients for different beta estimates across the sample and find that these correlations are positive, medium strong and statistically significant.


id: dem-14839
author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
title: Determinants of Corporate Performance: Modelling Approach
date: 2017
pages: 13
extension: .pdf
mime: application/pdf
words: 5211
sentence: 272
flesch: 55
cache: cache/dem-14839.pdf
txt: txt/dem-14839.txt
summary:
  Determinants of Corporate Performance The capital structure theories suggest that leverage level can have a ma- jor impact on corporate performance (Bandyopadhyay, Barua, 2016). A M I C E C O N O M E T R I C M O D E L S DOI: http://dx.doi.org/10.12775/DEM.2017.007 Vol. 17 (2017) 115−127 Submitted October 25, 2017 ISSN (online) 2450-7067 Accepted December 28, 2017 ISSN (print) 1234-3862 Ewa Majerowska, Magdalena Gostkowska-Drzewicka * Determinants of Corporate Performance: Modelling Approach A b s t r a c t.


id: dem-11743
author: Kompa, Krzysztof; Witkowska, Dorota
date: 2016
pages: 16
extension: .pdf
mime: application/pdf
words: 5733
sentence: 238
flesch: 58
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:
  K e y w o r d s: pension funds, stable growth open investment funds, investment efficiency, Sharpe model, CAPM, Sharpe, Treynor and Jensen ratios. 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%.


id: dem-18451
author: Devkota, Mitra Lal; Panta, Humnath
date: 2018
pages: 17
extension: .pdf
mime: application/pdf
words: 7196
sentence: 331
flesch: 58
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:
  Smith (2001) inves- tigated the short-term and long-term relationships between the gold price and stock exchange price index using daily, weekly and monthly time series data from 1991 to 2001. 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).


id: dem-27642
author: Atinafu, Wondatir
title: Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach
date: 2019
pages: 28
extension: .pdf
mime: application/pdf
words: 11009
sentence: 527
flesch: 53
cache: cache/dem-27642.pdf
txt: txt/dem-27642.txt
summary:
  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-18955
author: Hossain, Sharif; Sen, Kanon Kumar; Abedin, Thasinul; Chowduhury, Muhammad Shafiur Rahman
title: Revisiting the Import Demand Function: A Comparative Analysis
date: 2019
pages: 23
extension: .pdf
mime: application/pdf
words: 8935
sentence: 479
flesch: 57
cache: cache/dem-18955.pdf
txt: txt/dem-18955.txt
summary:
  Dutta and Ahmed (2004) estimated the Indian import de- mand function and revealed that real GDP explains import demand to a sig- nificant extent and import demand is less sensitive to changes in import price. Estimating import demand function for the UK, Abbott and Seddighi (1996) revealed that followed by investment and export expendi- tures, consumption expenditure has the highest impact on import demand.


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


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:
  http://stat.gov.pl/obszary-tematyczne/roczniki-statystyczne/roczniki-statystyczne/rocznik-statystyczny-wojewodztw-2015,4,10.html


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


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-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-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


# ent

id: dem-2900
sid: 146
eid: 13
type: MONEY
entity:
  1995.10–2012.12 1.37 0.63 1.45 0.55 eur/usd 1995.10–2012.12 1.53 0.47 1.49 0.51 gbp/usd 1995.10–2012.12


id: dem-1053
sid: 175
eid: 7
type: DATE
entity:
  1998-12 2001-01 2001-05 2001-01 2001-02 2002-04 2002-04 2002-03 2002-04 2004-06 2003-10 2005-01 2005-02 2008-03 2008-09 2008-02 2008-08


id: dem-11737
sid: 82
eid: 1
type: MONEY
entity:
  0526.02105.03553.03289.00395.00132.0 0266.00976.04053.03876.00533.00296.0 0214.00885.03842.04034.00833.00192.0


id: dem-11731
sid: 207
eid: 3
type: PRODUCT
entity:
  https://doi.org/10.1093/rof/rfs035 https://doi.org/10.1257/000282803321455322 https://doi.org/10.1016/j.finmar.2015.08.001


id: dem-15617
sid: 131
eid: 1
type: ORG
entity:
  http://stat.gov.pl/obszary-tematyczne/roczniki-statystyczne/roczniki-statystyczne/rocznik-statystyczny-wojewodztw-2015,4,10.html http://stat.gov.pl/obszary-tematyczne/roczniki-statystyczne/roczniki-statystyczne/rocznik-statystyczny-wojewodztw-2015,4,10.html http://stat.gov.pl/obszary-tematyczne/roczniki-statystyczne/roczniki-statystyczne/rocznik-statystyczny-wojewodztw-2015,4,10.html


id: dem-13561
sid: 263
eid: 1
type: PERSON
entity:
  http://dx.doi.org/10.1007/s10887-013-9099-8 http://dx.doi.org/10.7208/chicago/9780226356556.001.0001


id: dem-20812
sid: 325
eid: 1
type: PERSON
entity:
  https://www.aljazeera.com/indepth/features/2016/11/india-demonetisation-modi-didnpoor-161123073645259.html shirley


# pos

id: dem-20812
sid: 347
tid: 6
pos: VERB
token:
  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/

lemma:
  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/


