The following document outlines a technique for pricing interest rate swaps in terms of the underlying asset exposures and the internal yield to maturity of the contract. Hence, you can use the Par Yield as opposed to the entire Zero Curve, since the Par Yield implicitly embeds the Curve at the...

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters...

Factor model is an appealing and effective analytic tool for high-dimensional time series, with a wide range of applications in economics, finance and statistics. One of the fundamental issues in using factor model for time series in practice is the determination of the number of factors to use....

The financial industry has eagerly adopted machine learning algorithms to improve on traditional predictive models. In this paper we caution against blindly applying such techniques. We compare forecasting ability of machine learning methods in evaluating future payoffs on synthetic variance...

Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various...

This paper develops a new empirical measure of the S&P fundamental value under the rational expectation hypothesis. Thus, using the linearization of Campbell and Shiller (1988) and referring to the developments of Challe (2002), we extend the Dividend Discount Model (DDM) by introducing...

W ciągu 90 lat istnienia ekonometria rozwijała się burzliwie, szczególnie w ostatnich kilkudziesięciu latach. Zawdzięcza to przede wszystkim rozwojowi informatyki oraz komputeryzacji, które w niebagatelny sposób przyczyniły się do ułatwienia i przyspieszenia obliczeń...

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...

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...

It is often documented, based on autocorrelation, variance ratio and power spectrum, that exchange rates approximately follow a martingale process. Because autocorrelation, variance ratio and spectrum check serial uncorrelatedness rather than martingale difference, they may deliver misleading...