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Contents
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Preface
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5
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Growth Modelling
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Robert Kruszewski, Periodic and Quasi-Periodic Dynamics in Modified Samuelson Model
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11
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Pawel Kliber, Sensitivity of Optimal Growth Trajectories in a Continuous Setting
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23
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Adam Krawiec, Economic Growth with Public Capital and Investment Delay
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35
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Jacek Ktolowski, Money and Prices in The Polish Economy - Seasonal Cointegration Approach
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87
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Modelling Inflation
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Robert Kelm, Michal Majsterek, Relationship Between Wages and Prices in the Polish Economy. An I(2) Approach
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45
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Anna Pajor, Bayesian Option Pricing with Stochastic Volatility and Stochastic Interest Rate
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65
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Justyna Wroblewska, Bayesian Analysis of Cointegration: An Application to Price-Wage Mechanism in Polish Economy
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89
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Piotr Burawski, Jacek Kwiatkowski, The Impact of European Union Integration on Volatility of Polish Agriculture Commodity Prices
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103
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Financial Markets Modelling
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Malgorzata Doman, Modelling the Realized Volatility with Regime Switching Models: Results from Polish Financial Market
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123
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Piotr Pluciennik, Eliza Bruszkowska, Modelling and Forecasting the Implied Volatility of the WIG20 Index
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137
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Agata Kliber, Volatility Transmisson Along the Yield Curve in Polish Financial Market
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155
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Daria Filatowa, Marek Grzywaczewski, Mounir Zili, Portfolio Optimalization Problem of Mertons' Market Model Driven by a Fractional Brownian Motion
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181
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Ryszard Doman, Modelling Conditional Dependence Between Polish Financial Returns Using Copula-Based Dependence Measures
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199
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Econometric Methodology
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Wojciech Grabowski, Integrated Time Series in Binary Choice Models
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215
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Anna Staszewska, Learning about the Shape of Impulse Response Functions
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235
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Jacek Osiewalski, Anna Pajor, Mateusz Pipien, Bayesian Comparison of Bivariate GARCH, SV and Hybrid Models
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247
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