Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market participants' risk capital. Commonly used risk...

Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme events strongly relies on their flexibility to account for...

This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of 'superior' models, where the null hypothesis of Equal Predictive...

We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$, not limited only to the edge values of $h(q)$...

We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This construction allows us to show the existence of...

The agent-based computational economical model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is sufficiently complex,...

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag...

We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result of finite length of used data series and is additionally...

Keywords: corporate finance, Wroc{\l}aw University of Economics, net profit margin lub net sales profitability

This paper examines three independent explanatory variables and their relation with cost overrun in order to decide whether this is different for Dutch infrastructure projects compared to worldwide findings. The three independent variables are project type (road, rail, and fixed link projects),...