Article on the use of system analysis methodology for modeling socio-economic processes. The author justifies the methodological approach, based on dynamic analysis of exogenous processes in economic and social management practices. Particular attention is paid to the use of index indicators...

A simplest multi-sector dynamic model for regional economy is a normative balance mathematical model, but it contains a lot of unspecified parameters which are not defined directly by the data of economic statistics. Only confidence intervals for the unknown parameters can be computed from the...

Parallel calculations on modern multiprocessing technics open new opportunities in application of mathematical models for research ekonomy of region. Use of normative models was limited to complexity of their identification due to a lot of unknown parameters. In work the technique of...

We test two questions: (i) Is the Bayesian Information Criterion (BIC) more parsimonious than Akaike Information Criterion (AIC)?, and (ii) Is BIC better than AIC for forecasting purposes? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly...

We study optimal asset allocation for a portfolio of European fixed-income mutual funds during the recent financial turmoil. We use a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. Our analysis focuses...

In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare...

Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework....

This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require...

Theory suggests that physical commodity prices may exhibit nonlinear features such as bubbles and various types of asymmetries. This paper investigates these claims empirically by introducing a new time series model apt to capture such features. The data set is composed of 25 individual,...

Particle Gibbs with ancestor sampling (PG-AS) is a new tool in the family of sequential Monte Carlo methods. We apply PG-AS to the challenging class of unobserved component time series models and demonstrate its flexibility under different circumstances. We also combine discrete structural...