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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
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Forecasting volatility during the outbreak of Russian invasion of Ukraine : Application to commodities, stock indices, currencies, and cryptocurrencies
Fiszeder, Piotr; Malecka, Marta - 2022
We analyze the effects of the outbreak of the Russian-Ukrainian war on the volatility in commodity and financial markets. The Russian invasion sharply raised the volatility of most assets, however, the scale of reactions was market-specific and some markets exhibited a strong tendency to return...
Persistent link: https://www.econbiz.de/10013406520
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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/10010315819
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowinski, Piotr (contributor);  … - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10003202866
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EU enlargement and trade balance effects in the Polish economy: simulations with the model of regional trade
Wdowinski, Piotr; Milo, Wladyslaw - In: Enlarging the EU : the trade balance effects, (pp. 124-146). 2002
Persistent link: https://www.econbiz.de/10001775165
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Economic performance in Poland under fixed and flexible exchange rate regimes
Wdowinski, Piotr; Aarle, Bas van - In: Exchange rate policies, prices, and supply-side …, (pp. 140-156). 2001
Persistent link: https://www.econbiz.de/10001584290
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The Warsaw Stock Exchange Index Wig : Modelling and Forecasting
Wdowinski, Piotr - 2013
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10012754465
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - 2013
In the paper we analyze determinants of the capital market beta risk in Poland on a monthly basis over the 1996-2002 period. 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...
Persistent link: https://www.econbiz.de/10012754614
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Financial Markets and Economic Growth in Poland : Simulations with an Econometric Model
Wdowinski, Piotr - 2021
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/10013318168
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - CESifo - 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/10005249463