The paper examines the dynamics of regional income at the NUTS3 level of the new EU Member States from Central and Eastern Europe in the years 1998--2005. The authors apply a wide range of methods and tools including classical beta and sigma convergence analysis supplemented by transition...

This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies,...

The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all. The...

The article presents a simple parameterization of the volatility surface for options on the S&P 500 volatility index, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied volatility correlates strongly with the volatility skew in S&P...

The paper presents an overview of the literature on volatility measurement, modeling and forecasting, from the perspective of option pricing. The following conclusions are drawn. First, efficient volatility estimation utilizes intraday data and measures such as realized volatility (i.e. sum of...

W artykule przedstawiamy prostą parametryzację powierzchni zmienności w opcjach, których instrumentem bazowym jest zmienność implikowana z opcji na S&P 500 wyrażona indeksem VIX. W szczególności pokazujemy, że: (i) zmienność implikowana opcji ATM na VIX jest silnie skorelowana z...

This paper investigates the presence of sigma and beta convergence between the Polish subregions over 1995–2006. We verify for the absolute convergence, as well as for the convergence conditioned on the stock of physical capital, human capital and the size of the central city, these being...

pThis paper examines the dynamics of regional unemployment rates in transition economies. We use policy-relevant NUTS 4 unemployment rates for transition economies characterized by both relatively intense (Poland, Slovakia) and relatively mild labor market hardships (the Czech Republic). We...