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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

Persistent link: https://www.econbiz.de/10013499116

Zmiany produkcji oraz cen żywca wieprzowego i zbóż w Polsce w latach 1995 - 2008

Szymańska, Elżbieta; Tatarczak, Ewa - In: Zagadnienia ekonomiki rolnej : organ Komitetu Ekonomii … (2010) 4, pp. 146-158

Persistent link: https://www.econbiz.de/10008780352

Implications of ERM2 for Poland’s Monetary Policy

Orlowski, Lucjan T.; Rybinski, Kryzstof - 2005

This study proposes an extension to the inflation targeting framework for Poland that takes into consideration the exchange rate stability constraints imposed by the obligatory participation in the ERM2 on the path to the euro. The modified policy framework is based on targeting the differential...

Persistent link: https://www.econbiz.de/10009476869

Data Analysis for Risk Management – Economics, Finance and Business

Jajuga, Krzysztof (contributor); … - 2024

This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...

Persistent link: https://www.econbiz.de/10015324884

Implications of ERM2 for Poland’s Monetary Policy

Orlowski, Lucjan; Rybinski, Krzyzstof - William Davidson Institute, University of Michigan - 2005

Persistent link: https://www.econbiz.de/10005784742

The Euro and Stock Markets in Hungary, Poland, and UK

Moore, Tomoe - In: Journal of Economic Integration 22 (2007), pp. 69-90

This paper aims to empirically investigate the effect of the euro on stock markets for Hungary, Poland and the UK, and also the co-movement of the stock prices with the euro-zone using the daily stock price indices. The result reveals that in order to develop the emerging stock markets, exchange...

Persistent link: https://www.econbiz.de/10009392008

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

Persistent link: https://www.econbiz.de/10011874650

Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality...

Persistent link: https://www.econbiz.de/10012403992

Intra-market commonality in liquidity : new evidencefrom the Polish stock exchange

Olbryś, Joanna - In: Equilibrium : quarterly journal of economics and … 14 (2019) 2, pp. 251-275

Persistent link: https://www.econbiz.de/10012232051

Effects of fiscal policy and monetary policy on the stock market in Poland

Hsing, Yu - In: Economies : open access journal 1 (2013) 3, pp. 19-25

Poland. Applying the GARCH model and based on a sample during 1999.Q2 to 2012.Q4, this paper finds that Poland’s stock market …

Persistent link: https://www.econbiz.de/10010227857