In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet variance and correlation decompositions. In particular, questions about...

Presented paper concerns the dynamic factor models theory and application in the econometric analysis of GDP in Poland. DFMs are used for construction of the economic indicators and in forecasting, in analyses of the monetary policy and international business cycles. In the article we compare...

In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented...

The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike...

In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was employed. After establishing that the exchange rates permanently deviate...

The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of...

The article presents the notion of detection of overt or tacit collusion equilibrium in the context of choice of the appropriate econometric method, which is determined by the amount of information that the observer possesses. There has been shown one of the collusion markers coherent with an...

The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables.

The article contains a presentation of possibility of using panel-based sample and modelling based on this sample as methods of determining indicators of patent activity. The research was conducted with the help of data from European countries. Results in association with used methodology, which...

The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For...