In this paper, the authors explain the notion of long memory and report their results concerned with the long memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns) of American companies listed in DJIA index. The...

The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1) models for selected parameters....

The main aim of this paper is to examine the relationship between the increasing share of institutional investors resulting from the pension reform in Poland and stock return autocorrelation as well as risk level on the Warsaw Stock Exchange. The problem under consideration is investigated by...

By applying copulas the examination was carried out to find out whether trading volume, stock return and return volatility are pairwise dependent. In the investigations it was shown that there exists a close relationship between these variables on the domestic market and between Polish stock...

The main aim of this paper is to explore the information content of dividend and buy back announcements. Using daily data from the Warsaw Stock Exchange, we investigate the reaction of stock prices of the announcing firms as well as the industry rivals to the announcement issue. The regression...

In this paper, the analysis of the dependence structure among the selected European indices (FTSE, CAC, DAX, ATX, PX, BUX and BIST) is conducted. The main features of the financial data are studied: the asymmetry, the fat-tailedness, the variability and mutual dependence. We have fitted a regime...