Contents
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Preface
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3
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Demand and Innovation Systems
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Blazej Mazur, Non-Piglog Demand Systems: An Empirical Comparison
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7
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Marek Szajt, Innovative Activity in European Countries: Space-Time Analysis
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21
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Financial Models
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Ewa Marta Syczewska, Comparison of Exchange Rate Behaviour for Hungary, Latvia and
Poland
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39
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Konstantins Kozlovskis, Vladimirs Jansons, Markowitz's Portfolio Selection Modified
by Time- Varying Conditional Parameters
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63
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Matgorzata Doman, The Joint Dynamics of Returns, Volatility, and Volume on the Warsaw
Stock Exchange
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73
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Henryk Gurgul, Pawt Majdosz, The information Content of Earning Forecasts Announcements:
the Case of the Polish Stock Exchange
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87
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Ryszard Doman, Forecasting the Polish Stock Market Volatility with Hamilton's Markov
Switching Models
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103
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ARCH and GARCH Models
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Mateusz Pipien, GARCH Processes with Skewed-t and Stable Conditional Distributions.
Dynamic Bayesian Comparison for WIBOR Interest Rates
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125
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Piotr Fiszeder, Forecasting Volatility with GARCH Models
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139
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Henryk Gurgul, Pawei Majdosz, Trading Activity and Return Volatility: Evidence from
the Polish Stock Market
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153
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Econometric Methodology
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Malgorzata Osinska, Stochastic Unit Roots Processes - Properties and Application
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169
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Kazimierz Krauze, Testing for Structural Change in a Cointegration Analysis of the
PPP and the UIP for Poland
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181
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Anna Staszewska, Inference in VAR Modelling: Some Preliminaries
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199
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