Although uncertainty is one of the oldest and most substantial parts of economic theory, there is still no consensus among economists on what uncertainty is. The key aspects are the ”under-socialized” versus ”oversocialized” approach, rationality and the alleged contrast between...

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

This work deals with the Cobb-Douglas production function and related assumptions. The function has been at the center of the so-called ”capital controversy” and the object of a good deal of econometric research. We argue that while in the early days when the function was proposed the...

This work summarizes recent advances in modelling and econometrics for alternative directions in macroeconomics and cycle theories. Starting from the definition of a cycle and continuing with a historical overview, some basic nonlinear models of the business cycle are introduced. Furthermore,...

This work aims to extend previous research on how a trifactorial stochastic model, which we call CIR3, can be turned into a forecasting tool for energy time series. In particular, in this work, we intend to predict changes in the industrial production of electric and gas utilities.The model...

This research aims to propose the so-called CIR#, which takes its cue from the well-known Cox-Ingersoll-Ross (CIR) model originally devised for pricing, as a general econometric model. To this end, we present the results on two very different time series such as Polish interest rates subject to...

The goal is to investigate the dynamics of banks’ share prices and related financials that lead to potential disruptions to credit and the economy. We adopt a classic macroeconomic equilibrium model with households, banks, and non-financial companies and explain both market valuations and...