Applied Econometrics Papers
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Informed and Uninformed Trading in the EUR/PLN Spot Market
(2011-05-30)This paper examines an intraday activity of bank trading of the EUR/PLN currency pair via the Reuters Dealing 3000 Spot Matching System in 2007. On the grounds of the sequential trade model of Easley, Engle, O’Hara & Wu ... -
Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008
(2010-09-23)We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991–30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the ... -
Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock
(2009-06-28)This paper uses a restricted factor model to estimate the HICP index excluding relative prices changes. The index thus obtained, hereinafter referred to as pure inflation, demonstrates stronger relationship to This paper ... -
Nonlinear dynamics of a duopoly game with adjusting, heterogeneous players, facing increasing marginal costs
(2008-03-25)A repeated, discrete time, nonlinear Cournot duopoly game with adjusting heterogeneous players, i.e. bounded rational and adaptive, is subject of investigation. The game is modeled by a system of two nonlinear difference ... -
Corporate governance ratings and the performance of listed companies in Poland
(2007-05-22)Recent ratings of corporate governance for the companies listed on Warsaw Stock Exchange are presented: the Polish Corporate Governance Forum (PFCG) ratings and Polish Institute of Directors (PID) ratings. The association ... -
Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models
(2006-05-22)This study examines the relationship between the future stock returns and the fundamental indices for companies listed on the Warsaw Stock Exchange in Poland. The fundamental exogenous variables were constructed following ... -
New bankruptcy prediction models for Polish companies
(2005-05-22)New logit models for predicting bankruptcy of Polish companies are presented. Major features of these approaches are: (1) selection of appropriate companies to the sample as the key step of the research, (2) well defined ... -
Range-Dependent Utility
(2013-01-13)This paper introduces the concept of range-dependent utility. Instead of reference dependence which evaluates outcomes relative to some reference point, we postulate dependence on a given lottery (set of lotteries) outcomes ... -
Information content of survey data: applications of entropy and dissimilarity measures
(2012-05-15)This paper evaluates information content of survey data by the means of entropy and dissimilarity measures. Similarities between a priori information (expectations) and a posteriori information (realizations) are assessed ... -
Booms and Busts in United States Financial Markets
(2011-05-15)Financial crises, booms and busts are an inherent part of the capitalist system. The current financial crisis that began in 2007 has reignited the debate about the causes and consequences of previous economic downturns. ... -
Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test
(2010-09-23)The aim of this paper is to study properties of the Kwiatkowski-Phillips-Schmidt-Shin test (KPSS test), introduced in Kwiatkowski et al. (1992) paper. The null of the test corresponds to stationarity of a series, the ... -
Estimating pure inflation in the Polish economy
(2009-06-28)This paper uses a restricted factor model to estimate the HICP index excluding relative prices changes. The index thus obtained, hereinafter referred to as pure inflation, demonstrates stronger relationship to the central ... -
Larger crises cost more: impact of banking sector instability on output growth
(2008-03-25)We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based ... -
Decomposition of the realized rate of return on investment in fixed-income securities
(2007-05-22)Paper presents decomposition of the realized rate of return on investment in fixed-income securities in order to identify the income/risk sources. The decomposition is accomplished applying the concept of factorization and ... -
Estimating liquidity using information on the multivariate trading process
(2006-05-22)In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the ... -
Money and prices in the Polish economy. Seasonal cointegration approach
(2005-05-22)The paper presents the analysis of the long run causality behaviour between money and prices in the Polish economy during the transition period. The study makes use of the monetary inflation model known as the P-star model, ... -
End of sample vs. real time data: perspectives for analysis of expectations
(2013-01-13)Data revision is defined as an adjustment published after the initial announcement had been made; it may reflect rectification of errors, availability of new information, etc. When economists use a database, they may not ... -
The Oaxaca-Blinder unexplained component as a treatment effects estimator
(2012-02-13)In this paper I use the National Supported Work (NSW) data to examine the validity of the Oaxaca–Blinder unexplained component as an estimator of the population average treatment effect on the treated (PATT). Precisely, I ... -
Determinants of Involuntary Job Termination in the Polish Labor Market
(2011-04-11)To date there does not exist one a generally acceptable measure or index of Specialization in International Trade. The intention of this article is to evaluate the exogenous dismissal probability for a certain worker ... -
Oversampling of stochastic processes
(2010-05-25)Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ð radians per sample period. It is well known that, ...
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