DYNAMIC ECONOMETRIC MODELS 6 ZIELIŃSKI Z. EDITOR Księgarnia

Contents

Czesław Domański: Application of Runs of Signs Tests in the Statistical Process Control;

Krzysztof Jajuga: Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series;

Jacek Osiewalski, Mateusz Pipień: Bayesian Comparison of Bivariate GARCH Processes in the Presence of an Exogenous Variable;

Antoni Smoluk: The Stock Market, Elliott's Waves, Cones and Cylinders;

Jerzy Witold Wiśniewski: The Dynamic Econometric Model in the Studying of Employment Changes in a Small Enterprise;

Maria Szmuksta-Zawadzka, Jan Zawadzki: On Hierarchic Models for Decade Data with Seasonal Fluctuations; Stefan Grzesiak: Kalman Filters and Specification Errors of Hyper-Structure;

Tadeusz Kufel: General-to-Specific Modelling vs. Congruent Modelling in PcGets;

Kazimierz Krauze: Modelling the Zloty-Euro Exchange Rate;

Magdalena Osińska, Maciej Witkowski: The TAR-GARCH Models with Application to Financial Time Series; Mariola Piłatowska: Realization of the Congruence Postulate as a Method of Avoiding the Effects of a Spurious Relationship;

Grażyna Trzpiot, Alicja Ganczarek: Risk on the Polish Energy Market;

Liliana Talaga: Predictors of Non-Stationary ARIMA Processes; Jerzy Romański: Some Aspects of Seasonality in Co-integration Analysis;

Ewa Marta Syczewska: Fractional Integration Parameters Estimation for the PLN and for the Irish Pound Exchange Rates;

Elżbieta Szulc: The Structure of Interdependence in Dynamic Spatial Models. Remarks on Modelling and Interpretation;

Joanna Bruzda: Wavelet vs. Spectral Analysis of an Economic Process;

Ewa Dziawgo: Approximation of Basket Call Option Price;

Piotr Fiszeder: Dynamic Hedging Portfolios - Application of Bivariate GARCH Models;

Joanna Górka, Joanna Stempińska: Heteroskedastic Cointegration;

Jacek Kwiatkowski, Magdalena Osińska: Stochastic Unit Roots Processes - Identification and Application;

Witold Orzeszko: How the Prediction Accuracy of Chaotic Time Series Depends on Methods of Determining the Parameters of Delay Vectors;

Anna Szmit: The Analysis of the Forecast Quality Depending on the Length of Forecast Horizon

250 pages, Paperback

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