        item: #1 of 105
          id: dem-1049
      author: Blangiewicz, Maria; Miłobędzki, Paweł
       title: The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates
        date: 2012
       words: 6343
      flesch: 64
     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 = ∑ .
    keywords: interest; n t; period; rates; spread; structure; t t; term; var
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        item: #2 of 105
          id: dem-1050
      author: Witkowska, Dorota; Kompa, Krzysztof; Matuszewska-Janica, Aleksandra
       title: Analysis of Linkages between Central and Eastern European Capital Markets
        date: 2012
       words: 6450
      flesch: 57
     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.
    keywords: analysis; changes; data; finance; indexes; international; journal; markets; number; relations; sbi20; stock; wig20
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        item: #3 of 105
          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
       words: 7016
      flesch: 51
     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: conditional; 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 105
          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
       words: 6444
      flesch: 63
     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.
    keywords: bayesian; jumps; model; option; parameters; pricing; replication; replication strategy; strategy
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        item: #5 of 105
          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
       words: 6229
      flesch: 53
     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; indicators; logit; model; phases; probability; recession; regime; research; switching
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        item: #6 of 105
          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
       words: 4984
      flesch: 55
     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; classical; distribution; gold; investment; market; measures; models; palladium; platinum; risk; table
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        item: #7 of 105
          id: dem-1055
      author: Górka, Joanna
       title: The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
        date: 2012
       words: 2648
      flesch: 83
     summary: − − − (14)                                              
    keywords: t t
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        item: #8 of 105
          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
       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. Therefore it may be agreed that all accepted variables describe, to some extent, the determi- nants of interregional migration flows in Poland.
    keywords: economic; gravity; migration; model; period; regions; time; variables
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        item: #9 of 105
          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
       words: 5885
      flesch: 56
     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:   
    keywords: models; poviats; processes; regions; spatial; sub; unemployment; value;  ;  
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        item: #10 of 105
          id: dem-1058
      author: Piłatowska, Mariola
       title: Information and Prediction Criteria in Selecting the Forecasting Model
        date: 2011
       words: 4933
      flesch: 49
     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.
    keywords: ar ar; ar arima; ar rw; arima arima; model; rw rw; sample; size
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        item: #11 of 105
          id: dem-1059
      author: Pajor, Anna
       title: Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
        date: 2011
       words: 6391
      flesch: 60
     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.
    keywords: model; msf; pajor; portfolio; return; sbekk
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        item: #12 of 105
          id: dem-1060
      author: Bień-Barkowska, Katarzyna
       title: Distribution Choice for the Asymmetric ACD Models
        date: 2011
       words: 8121
      flesch: 74
     summary:                                                    Order durations are defined as time intervals between subsequent moments of order submissions.
    keywords: aacd; b b; distribution; model; order;  
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        item: #13 of 105
          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
       words: 5050
      flesch: 58
     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.
    keywords: copula; correlations; dax; dependence; dynamics; eur; exchange; indices; s&p500; student; usd; wig20
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        item: #14 of 105
          id: dem-1063
      author: Fiszeder, Piotr
       title: Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
        date: 2011
       words: 4364
      flesch: 44
     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.
    keywords: garch; matrix; minimum; models; multivariate; portfolio; returns; selection; stocks; variance
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        item: #15 of 105
          id: dem-1064
      author: Będowska-Sójka, Barbara
       title: The Impact of Macro News on Volatility of Stock Exchanges
        date: 2011
       words: 4362
      flesch: 56
     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; markets; news; reaction; returns; series; volatility; wig20
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        item: #16 of 105
          id: dem-1065
      author: Kliber, Agata
       title: Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
        date: 2011
       words: 6131
      flesch: 63
     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.
    keywords: causality; cds; cds instruments; cds prices; central; czech; hungary; poland; polish; t t; test; volatility
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        item: #17 of 105
          id: dem-1066
      author: Osińska, Magdalena
       title: On the Interpretation of Causality in Granger’s Sense
        date: 2011
       words: 4610
      flesch: 58
     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;  
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        item: #18 of 105
          id: dem-1067
      author: Bruzda, Joanna
       title: The Haar Wavelet Transfer Function Model and Its Applications
        date: 2011
       words: 5152
      flesch: 59
     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.
    keywords: function; k k; t t; wavelet;  ;  ;  
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        item: #19 of 105
          id: dem-1068
      author: Bejger, Sylwester; Bruzda, Joanna
       title: Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis
        date: 2011
       words: 6096
      flesch: 50
     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.
    keywords: analysis; application; change; coefficients; collusion; detection; j j; price; time; variance; wavelet
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        item: #20 of 105
          id: dem-1076
      author: Kliber, Paweł
       title: Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
        date: 2011
       words: 4764
      flesch: 67
     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; process; processes; singularity
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        item: #21 of 105
          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
       words: 8174
      flesch: 61
     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.
    keywords: 210; 310; arch; effect; equity; funds; garch(p; market; models; polish; portfolio; table; timing
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        item: #22 of 105
          id: dem-1087
      author: Müller-Frączek, Iwona; Bernard Pietrzak, Michał
       title: Space-Time Modelling of the Unemployment Rate in Polish Poviats
        date: 2011
       words: 4155
      flesch: 53
     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; time; unemployment; unemployment rate; ≈0.00; ≈0.00 ≈0.00
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        item: #23 of 105
          id: dem-11731
      author: Schabek, Tomasz; Castro, Henrique
       title: “Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
        date: 2016
       words: 5292
      flesch: 55
     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.
    keywords: data; doi; effect; halloween; jacobsen; market; month; regressions; sell; sentiment; stock; strategies
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        item: #24 of 105
          id: dem-11733
      author: Bruzda, Joanna
       title: Quantile Forecasting in Operational Planning and Inventory Management – an Initial Empirical Verification
        date: 2016
       words: 7858
      flesch: 65
     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.
    keywords: forecasting; forecasts; management; mean; methods; models; procedures; quantile; regression; series; time
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        item: #25 of 105
          id: dem-11736
      author: Fałdziński, Marcin; Osińska, Magdalena
       title: Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets
        date: 2016
       words: 5688
      flesch: 65
     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.
    keywords: bse; causality; dax; estimators; kospi; markets; risk; value; volatility
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        item: #26 of 105
          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
       words: 2885
      flesch: 63
     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.
    keywords: chain; markov; matrix; return; state;  ;  
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        item: #27 of 105
          id: dem-11738
      author: Różański, Jerzy; Sekuła, Paweł
       title: Determinants of Foreign Direct Investment in Developed and Emerging Markets
        date: 2016
       words: 6190
      flesch: 49
     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.
    keywords: countries; determinants; economies; fdi; impact; index; inflows; investment; markets; quality; variables
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        item: #28 of 105
          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
       words: 8212
      flesch: 58
     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 105
          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
       words: 11019
      flesch: 42
     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.
    keywords: 87–116; companies; construction; distribution; dynamic; elimination; enterprises; firm; firms volatility; impact; market variables; market volatility; model; period; process; relationship; sector; stable; stock; student; student distribution; volatility
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        item: #30 of 105
          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
       words: 5733
      flesch: 58
     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%.
    keywords: funds; investment; models; pension; pension funds; periods; sharpe; table
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        item: #31 of 105
          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
       words: 6927
      flesch: 58
     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; economic; economies; forecasting; growth; kufel; model; rate; tar; threshold; variable
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        item: #32 of 105
          id: dem-11745
      author: Szetela, Beata; Mentel, Grzegorz; Gędek, Stanisław
       title: Dependency Analysis between Bitcoin and Selected Global Currencies
        date: 2016
       words: 4585
      flesch: 53
     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.
    keywords: .0001; analysis; arma; bitcoin; currencies; doi; garch; models; pln; results; test; time
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        item: #33 of 105
          id: dem-11858
      author: Szulc, Elzbieta; Górna, Karolina; Wleklińska, Dagna
       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
        date: 2016
       words: 7609
      flesch: 45
     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.
    keywords: bonds; convergence; countries; debt; economies; european; government; impact; interest; interest rates; models; period; process; rates; spreads
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        item: #34 of 105
          id: dem-13561
      author: Aslan, Goksu
       title: The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach
        date: 2017
       words: 8082
      flesch: 51
     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: #35 of 105
          id: dem-14658
      author: Kaczmarczyk, Paweł
       title: Microeconometric Analysis of Telecommunication Services Market with the use of SARIMA Models
        date: 2017
       words: 4934
      flesch: 44
     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: #36 of 105
          id: dem-14839
      author: Majerowska, Ewa; Gostkowska-Drzewicka, Magdalena
       title: Determinants of Corporate Performance: Modelling Approach
        date: 2017
       words: 5211
      flesch: 55
     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.
    keywords: capital; companies; company; effects; growth; journal; models; performance; roa; roe; size; structure
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        item: #37 of 105
          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
       words: 6402
      flesch: 50
     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: case; doi; estvec; exchange; forecasting; models; power; ppp; rate; transition; vecm
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        item: #38 of 105
          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
       words: 4590
      flesch: 60
     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).
    keywords: 81–96; estimation; gas; markov; models; risk; series; time; value; var
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        item: #39 of 105
          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
       words: 9560
      flesch: 59
     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; models; path; poland; rates; results; viterbi
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        item: #40 of 105
          id: dem-15481
      author: Włodarczyk, Aneta
       title: Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS
        date: 2017
       words: 6065
      flesch: 41
     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.
    keywords: aircraft; allowances; aviation; emission; euaas; market; models; operators; price; regime; returns; risk; volatility; volatility regime
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        item: #41 of 105
          id: dem-15617
      author: Warżała, Rafał
       title: Business Cycles Variability in Polish Regions in the Years 2000 – 2016
        date: 2017
       words: 5075
      flesch: 50
     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.
    keywords: business; business cycles; cycles; economic; fluctuations; gdp; level; pomerania; regions; series; silesia
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        item: #42 of 105
          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
       words: 5225
      flesch: 50
     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: doi; interest; market; money; prices; rate; stock; stock prices; supply; variables
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        item: #43 of 105
          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
       words: 4609
      flesch: 50
     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.
    keywords: election; fio; funds; market; models; period; returns; round
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        item: #44 of 105
          id: dem-15819
      author: Będowska-Sójka, Barbara
       title: Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
        date: 2017
       words: 6077
      flesch: 54
     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.
    keywords: accuracy; banking; bekk; beta; dcc; dynamic; estimates; models; sample; stocks; time
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        item: #45 of 105
          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
       words: 12779
      flesch: 42
     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)
    keywords: cointegration; credit; cross; data; development; doi; dynamic; economic; growth; journal; level; panel; relationship; results; root; run; states; study; test; unit; variables
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        item: #46 of 105
          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
       words: 5557
      flesch: 46
     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).
    keywords: assets; companies; company; enterprises; factors; impact; level; model; profitability; research; results; sector
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        item: #47 of 105
          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
       words: 7196
      flesch: 58
     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).
    keywords: causality; data; exchange rate; gold price; index; interest rate; nepse; price; rate; relationship; run; stock; test; variables
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        item: #48 of 105
          id: dem-18579
      author: Olbryś, Joanna
       title: The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
        date: 2018
       words: 5060
      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: 0/1; commonality; companies; doi; exchange; liquidity; markets; models; nasdaq; number; stock; trading
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        item: #49 of 105
          id: dem-18608
      author: Krężołek, Dominik
       title: Testing Day of the Week Effect on Precious Metals Market
        date: 2018
       words: 6321
      flesch: 57
     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.
    keywords: 0.000; aparch; day; effect; garch; models; period; returns; s ar; week; � �
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        item: #50 of 105
          id: dem-18610
      author: Górska, Rumiana
       title: Decomposition of Sovereign CDS Spread using the Concept of Factorization
        date: 2018
       words: 4944
      flesch: 61
     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.).
    keywords: analysis; cds; countries; country; debt; decomposition; factor; market; risk; spreads; variables
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        item: #51 of 105
          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
       words: 8935
      flesch: 57
     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.
    keywords: demand; economies; economy; exchange; ijt; import; import demand; level; price; rate; run; test; value
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        item: #52 of 105
          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
       words: 5703
      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). 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.
    keywords: cash; cpi; demonetisation; india; inflation; models; notes; panel; policy; rbi; reform; run; supply
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        item: #53 of 105
          id: dem-27642
      author: Atinafu, Wondatir
       title: Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach
        date: 2019
       words: 11009
      flesch: 53
     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.
    keywords: ardl; capital; causality; economic; energy consumption; ethiopia; gdp; granger; growth; hypothesis; model; relationship; result; run; test; variables
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        item: #54 of 105
          id: dem-27776
      author: Devkota, Mitra Lal
       title: Impact of Export and Import on Economic Growth: Time Series Evidence from India
        date: 2019
       words: 4814
      flesch: 58
     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.
    keywords: causality; export; gdp; growth; import; india; run; series; test; time
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        item: #55 of 105
          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
       words: 8459
      flesch: 62
     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.
    keywords: bux; copula; dax; dependence; doman; dynamics; linkages; markets; models; rho; s&p; stock; strength; tail; wig20
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        item: #56 of 105
          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
       words: 7055
      flesch: 61
     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: case; close; doi; egarch; impact; innovations; markets; models; period; returns; stock; trading; volatility
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        item: #57 of 105
          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
       words: 6833
      flesch: 51
     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.
    keywords: causality; consumption; countries; efficiency; energy; energy consumption; growth; hypothesis; l l; t l
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        item: #58 of 105
          id: dem-2898
      author: Burzała, Milda Maria
       title: Determination of the Time of Contagion in Capital Markets Based on the Switching Model
        date: 2013
       words: 6144
      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: #59 of 105
          id: dem-2899
      author: Kliber, Agata; Będowska-Sójka, Barbara
       title: Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads
        date: 2013
       words: 6738
      flesch: 66
     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.
    keywords: 87–106; bond; changes; country; econometric; economic; exchange; information; market; model; polish; risk; scds; situation; spreads; stock; t t; variables; variance; volume
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        item: #60 of 105
          id: dem-2900
      author: Kapecka, Agnieszka
       title: Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
        date: 2013
       words: 6429
      flesch: 54
     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; dimension; dynamic; exponent; financial; fractal; function; hurst; hölder; market; pointwise; price; series; time; time series; usd; values
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        item: #61 of 105
          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
       words: 5332
      flesch: 51
     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.
    keywords: convergence; cross; data; gdp; gdp gdp; growth; models
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        item: #62 of 105
          id: dem-2902
      author: Czapkiewicz, Anna; Machno, Artur
       title: Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy
        date: 2013
       words: 5588
      flesch: 47
     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; index; model; portfolio; region; risk; time; var; vector; western
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        item: #63 of 105
          id: dem-2903
      author: Landmesser, Joanna Małgorzata
       title: Decomposing the Gender Gap in Average Exit Rate from Unemployment
        date: 2013
       words: 4538
      flesch: 51
     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.
    keywords: benefits; characteristics; decomposition; differences; gender; hazard; labor; models; state; unemployment; women
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        item: #64 of 105
          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
       words: 6917
      flesch: 56
     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.
    keywords: business; business cycle; countries; crude; cycle; markov; models; oil; oil price; poland; price; price cycle; regime; switching; table
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        item: #65 of 105
          id: dem-30524
      author: Witkowska, Dorota; Kuźnik, Piotr
       title: Does fundamental strength of the company influence its investment performance?
        date: 2019
       words: 4551
      flesch: 50
     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
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        item: #66 of 105
          id: dem-4187
      author: Doman, Małgorzata
       title: Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
        date: 2010
       words: 3282
      flesch: 59
     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.
    keywords: data; estimates; liquidity; market; microstructure; noise; pekao; returns; signal; variance; volatility
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        item: #67 of 105
          id: dem-4189
      author: Bruzda, Joanna
       title: European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
        date: 2010
       words: 4842
      flesch: 46
     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.
    keywords: analysis; correlations; european; horizons; integration; investment; markets; results; scale; stock; time; wavelet
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        item: #68 of 105
          id: dem-4190
      author: Doman, Ryszard
       title: Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
        date: 2010
       words: 4668
      flesch: 64
     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)
    keywords: copula; j j
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        item: #69 of 105
          id: dem-4192
      author: Łęt, Blanka
       title: Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis
        date: 2010
       words: 2298
      flesch: 61
     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.
    keywords: companies; correlations; crisis; general; model; motors; series
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        item: #70 of 105
          id: dem-4193
      author: Płuciennik, Piotr
       title: Forecasting Financial Processes by Using Diffusion Models
        date: 2010
       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: #71 of 105
          id: dem-4194
      author: Górka, Joanna
       title: The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
        date: 2010
       words: 7623
      flesch: 72
     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).
    keywords: forecasts; function; garch; loss; models; rca; sign; sign rca; t t; test; var
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        item: #72 of 105
          id: dem-4196
      author: Orzeszko, Witold
       title: Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
        date: 2010
       words: 3588
      flesch: 66
     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.
    keywords: dependencies; information; measure; series; table; values
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        item: #73 of 105
          id: dem-4197
      author: Piłatowska, Mariola
       title: Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
        date: 2010
       words: 5416
      flesch: 59
     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; prediction; selection; strategy
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        item: #74 of 105
          id: dem-4198
      author: Kwiatkowski, Jacek
       title: Unobserved Component Model for Forecasting Polish Inflation
        date: 2010
       words: 3223
      flesch: 57
     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
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        item: #75 of 105
          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
       words: 5060
      flesch: 57
     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.
    keywords: gap; gdp; gdp gap; inflation; output; policy; rate; rule; taylor
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        item: #76 of 105
          id: dem-4200
      author: Piłatowska, Mariola
       title: Combined Forecasts Using the Akaike Weights
        date: 2009
       words: 4505
      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”. 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 ).
    keywords: aic; aic weights; akaike; forecasts; models; weights
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        item: #77 of 105
          id: dem-4201
      author: Szulc, Elżbieta
       title: Modeling of Dynamic Spatial Processes
        date: 2009
       words: 3462
      flesch: 55
     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.
    keywords: autocorrelation; gdp; model; spatial; spatio; trend; value
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        item: #78 of 105
          id: dem-4202
      author: Bejger, Sylwester
       title: Econometric Tools for Detection of Collusion Equilibrium in the Industry
        date: 2009
       words: 3741
      flesch: 47
     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.
    keywords: changes; collusion; detection; equilibrium; market; model; price; process; switching; test; variance
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        item: #79 of 105
          id: dem-4203
      author: Górka, Joanna
       title: Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
        date: 2009
       words: 3602
      flesch: 65
     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: #80 of 105
          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
       words: 3390
      flesch: 49
     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: #81 of 105
          id: dem-4205
      author: Burzała, Milda Maria
       title: The Synchronization of Regional Business Cycles with Nationwide Cycles
        date: 2009
       words: 3908
      flesch: 52
     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: #82 of 105
          id: dem-4206
      author: Kośko, Monika
       title: Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
        date: 2009
       words: 2682
      flesch: 62
     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
       cache: dem-4206.pdf
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        item: #83 of 105
          id: dem-4207
      author: Pajor, Anna
       title: Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
        date: 2009
       words: 4222
      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: cox; distribution; model; parameter; posterior; transformation; volatility
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        item: #84 of 105
          id: dem-4208
      author: Szajt, Marek
       title: Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods
        date: 2009
       words: 2793
      flesch: 50
     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.
    keywords: activity; countries; fisher; intercept; model; panel; patent; results; statistic; test
       cache: dem-4208.pdf
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        item: #85 of 105
          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
       words: 4263
      flesch: 56
     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 [ ] [ ] ( ) , )
    keywords: + +; consumption; demand; electricity; energy; factors; model; power; residuals; temperature; test; variables; weather
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        item: #86 of 105
          id: dem-4210
      author: Chruściński, Tomasz
       title: The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
        date: 2009
       words: 2700
      flesch: 51
     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: #87 of 105
          id: dem-4211
      author: Fałdziński, Marcin
       title: Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
        date: 2009
       words: 3733
      flesch: 61
     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.
    keywords: garch; models; pot; risk; t t; volatility
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        item: #88 of 105
          id: dem-4212
      author: Huptas, Roman
       title: Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
        date: 2009
       words: 4044
      flesch: 51
     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.
    keywords: data; durations; financial; intraday; intraday seasonality; models; seasonality; time; transaction; week
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        item: #89 of 105
          id: dem-4213
      author: Krajewski, Jarosław
       title: Estimating and Forecasting GDP in Poland with Dynamic Factor Model
        date: 2009
       words: 2463
      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: factors; gdp; matrix; model; number; variables
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        item: #90 of 105
          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
       words: 7644
      flesch: 62
     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
    keywords: groups; quartile; quintile group; returns; structure; table; term; vix; vix futures; vix quintile; vix returns; volatility
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        item: #91 of 105
          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
       words: 8215
      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- er’s remoteness are used as an alternative for including time-varying country effects.
    keywords: costs; countries; country; distance; effects; estimation; flows; gravity; gravity model; importer; model; remoteness; resistance; results; terms; time; trade; variables
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        item: #92 of 105
          id: dem-5673
      author: Piłatowska, Mariola; Włodarczyk, Aneta; Zawada, Marcin
       title: The Environmental Kuznets Curve in Poland – Evidence from Threshold Cointegration Analysis
        date: 2015
       words: 7806
      flesch: 56
     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.
    keywords: adjustment; capita; cointegration; consumption; ekc; emissions; energy; gas; greenhouse; model; results; run; tar; threshold
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        item: #93 of 105
          id: dem-5674
      author: Geise, Andrzej; Piłatowska, Mariola
       title: Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
        date: 2015
       words: 7832
      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
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        item: #94 of 105
          id: dem-5675
      author: Syczewska, Ewa M.
       title: The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis
        date: 2015
       words: 4113
      flesch: 63
     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).
    keywords: causality; crisis; exchange; granger; granger causality; rate; returns; stock; table; test; volatility
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        item: #95 of 105
          id: dem-5676
      author: Kompa, Krzysztof; Witkowska, Dorota
       title: Pension Funds in Poland: Efficiency Analysis for Years 1999–2013
        date: 2015
       words: 8010
      flesch: 56
     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: #96 of 105
          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
       words: 6306
      flesch: 49
     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; stock; stock exchanges; stock markets; test
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        item: #97 of 105
          id: dem-5679
      author: Górka, Joanna
       title: Option Pricing under Sign RCA-GARCH Models
        date: 2015
       words: 4873
      flesch: 61
     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).
    keywords: garch; garch models; models; observations; option; prices; pricing; rca; sign
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        item: #98 of 105
          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
       words: 6410
      flesch: 50
     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:
    keywords: analysis; convergence; development; distance; economic; exchanges; models; panel; stock; stock exchanges; test
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        item: #99 of 105
          id: dem-8574
      author: Lenart, Łukasz
       title: Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
        date: 2015
       words: 6527
      flesch: 66
     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
    keywords: -0,1; -0,2; 0,0; analysis; case; data; fluctuations; frequency; lenart; series; time; working
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        item: #100 of 105
          id: dem-8588
      author: Nowak, Sabina; Olbryś, Joanna
       title: Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
        date: 2015
       words: 6717
      flesch: 65
     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.
    keywords: big; companies; day; effect; estimation; liquidity; model; monday; results; shape; stock; trading; turnover; week
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        item: #101 of 105
          id: dem-8589
      author: Mazur, Błażej
       title: Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
        date: 2015
       words: 6569
      flesch: 44
     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.
    keywords: approach; data; density; disaggregate; forecasting; forecasts; inflation; level; models; performance; polish; restrictions; search
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        item: #102 of 105
          id: dem-8593
      author: Andrzejczak, Katarzyna; Kliber, Agata
       title: The Model of French Development Assistance – Who Gets the Help?
        date: 2016
       words: 8387
      flesch: 54
     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: aid; assistance; cooperation; countries; country; development; development cooperation; doi; donors; france; french; help; model; panel; policy; statistics; time; value
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        item: #103 of 105
          id: dem-8594
      author: Ratuszny, Ewa
       title: Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts
        date: 2016
       words: 10088
      flesch: 54
     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; method; models; position; quantile; risk; taylor; test; value; var; volatility
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        item: #104 of 105
          id: dem-8595
      author: Bejger, Sylwester
       title: Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach
        date: 2016
       words: 6290
      flesch: 55
     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; dynamic; lotos; market; model; parallel; players; price; pricing; series; table; test; testing; value
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        item: #105 of 105
          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
       words: 3041
      flesch: 38
     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.
    keywords: analysis; development; entrepreneurship; factors; model; tomasz; variable
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