An evaluation of the efficiency of different methods of the minimum variance portfolio selection was performed for seventy stocks from the Warsaw Stock Exchange. Eight specifications of multivariate GARCH models and six other methods were used. The application of all considered GARCH-class...

In the present paper an attempt was made to verify the possibilities of the use of a marker of structural changes of market price variance in the detection of trade collusion between business players. We used the theoretical model of strategic behaviour of trade players with the assumption of...

In the paper the Haar wavelet transfer function models are suggested as a way to parsimoniously parametrise the impulse responses and construct models with parameters providing an insight into the frequency content of the relationships under scrutiny. Besides, the models enable to verify...

The aim of this paper is to investigate the predictive properties of the MSF-Scalar BEKK(1,1) model in context of portfolio optimization. The MSF-SBEKK model has been proposed as a feasible tool for analyzing multidimensional financial data (large n), but this research examines forecasting...

The main goal of this study is to present the regressions of the GARCH versions of classical market-timing models of Polish equity funds. We examine the models with lagged values of the market factor as an additional variable because of the Fisher’s effect in the case of the main Warsaw Stock...

In the article, linkages among sovereign CDS instruments in Central Europe are investigated. Special attention is paid to the change of causality patterns during the Hungarian and Greek crises. The results of the research reveal that the expectations do play a role in determining the prices of...

In the paper we try to measure the activity of jumps in returns of some instruments from the Polish financial market. We use Blumenthal-Getoor index ? for Lévy processes as a measure of jumps’ activity. This allows us to distinguish between processes with rare and sharp jumps and the...

The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using...

The paper concerns the measurement of the dependence between economic spatial and also spatio-temporal processes at various levels of data aggregation. The considerations refer to the investigations confirming efficiency of the so-called quasi-congruent spatial model as a tool of the measurement...

The paper addresses the question of how the exchange rate dynamics affects the analysis of linkages between national stock markets. We consider two ways of tackling the problem. The first one consists in denominating the analyzed quotations in the same currency. The second deals with a direct...