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Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - CESifo - 2010
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...
Persistent link: https://www.econbiz.de/10008583696
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Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - 2021
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...
Persistent link: https://www.econbiz.de/10013316234
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Extremal risk management : expected shortfall value verification using the bootstrap method
Malecka, Marta - In: The journal of computational finance 23 (2020) 4, pp. 35-59
Persistent link: https://www.econbiz.de/10012212484
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Industry standard and econometric standard : the search for powerful approach to evaluate VaR models
Malecka, Marta - In: Argumenta oeconomica 46 (2021) 1, pp. 6-30
Persistent link: https://www.econbiz.de/10012622536
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Determinants of country beta risk in Poland
Wdowinski, Piotr - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10011402721
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Determinants of country beta risk in Poland
Wdowinski, Piotr - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10001914155
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Financial markets and economic growth in Poland : simulations with an econometric model
Wdowinski, Piotr - 2005
In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to...
Persistent link: https://www.econbiz.de/10003204721
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Financial markets and economic growth in Poland : simulations with an econometric model
Wdowinski, Piotr (contributor) - 2005
In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to...
Persistent link: https://www.econbiz.de/10003201875
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Asymmetry in volatility: A comparison of developed and transition stock markets
Wdowiński, Piotr; Malecka, Marta - 2010
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...
Persistent link: https://www.econbiz.de/10010270556
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Forecasting the Variability of Stock Exchange Indexes Using GARCH Models
Malecka, Marta - In: Ekonomista : czasopismo poświe̜cone nauce i potrzebom … 111 (2011) 6, pp. 843-861
Persistent link: https://www.econbiz.de/10009827340