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The crisis has shown that a drop in liquidity, as well as the shortened maturity of interbank transactions, has caused many problems for banks. We analyze how the introduction of a bank levy on bank assets in Poland has affected the interbank market, as well as money market pricing. Analyzing...
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Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by the hidden Markov Chain...
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The article presents measures of convergence that can be implied from the prices of instruments quoted on the financial market. Investors pricing off-balance instruments on the derivatives market reveal their sentiment and level of confidence related to the stability and development of the local...
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