This paper compares option pricing models, based on Black model notion (Black, 1976), especially focusing on the volatility models implied in the process of pricing. We calculated the Black model with historical (BHV), implied (BIV) and several different types of realized (BRV) volatility...

Matched sampling is a methodology used to estimate treatment effects. A caliper mechanism is used to achieve better similarity among matched pairs. We investigate finite sample properties of matching with calipers and propose a slight modification to the existing mechanism. The simulation study...

A caliper mechanism is a common tool used to prevent from inexact matches. The existing literature discusses asymptotic properties of matching with caliper. In this simulation study we investigate properties in small and medium sized samples. We show that caliper causes a significant bias of the...

The overlap problem is crucial in propensity score matching. Recently, Crump et al. (2009) showed that trimming provides a simple and robust solution to the overlap problem. In this study, we use a simulation approach to show that trimming is inferior to the caliper mechanism. We show that in...

The article presents statistical description of economic factors that determine sport participation in Poland. Utilising data from 2008 Sport Participation Survey the biprobit model that takes into account the dependency between individuals and household attitude to sport participation is...

In this paper we attempt to quantify the impact of social capital on individual well-being. We follow the Putnam (1995) approach and select five key social capital components to construct a synthetic index for social capital using a multivariate probit model. Social capital is considered as one...

In Poland, rural households are encouraged to diversify their activities both in and outside the agricultural sector in order to stabilize and improve their income. However, relatively few households appear to do this. This paper addresses this issue, investigating the returns from the income...

The purpose of this study is to check to what extent different environmental and institutional surroundings affect educational aspirations. We conduct a comparison study between different local municipalities in Poland. We use statistical description to compare educational aspirations in...

Despite decades of anti-discriminatory legislation, wage discrimination against women is believed to be a major source of social inequality in the developed economies. In the present study we investigate the issue of gender wage gap in Poland. The analysis is carried out both with regard to the...

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,...