The official language of the conference is English.

Programme history



Below is the detailed programme of the conference. Abstracts or full papers are linked to the titles of the presentations.




Wednesday, December 3, 2008


from 14:00      Hotel registration


18:00 – 19:00 Conference registration


19:00 – 21:00  Dinner and Get Together Party



Thursday, December 4, 2008


8:00 – 9:00      Breakfast


9:45 – 10:00    Opening of the conference – Władysław Welfe


10:00 – 11:00   Invited Session I

                        Chair: A. Welfe


Jeff CHEN, Wende DENG, David KEMME, Yuan real exchange rate undervaluation, 1997-2006. How much, how often? Not much, not often


11:00 – 12:30  Session 1A: Volatility Modelling I

                        Chair: A. Welfe


Jeff CHEN, Wende DENG, David KEMME, Yuan real exchange rate undervaluation, 1997-2006. How much, how often? Not much, not often


11:00 – 12:30  Session 1A: Volatility Modelling I

                        Chair: Mgdalena Osińska


Małgorzata DOMAN, Ryszard DOMAN, Forecasting the end-of-the-day realized variance


Henryk GURGUL, Tomasz WóJTOWICZ, FIGARCH models and long memory


Mateusz PIPIEŃ, On the empirical importance of the orthogonal transformation in copula-based M-GARCH models. Bayesian comparison


11:00 – 12:30  Session 1B: Labour Market Modelling

                        Chair: Reinhard Neck


Timo BAAS, The macroeconomic consequences of labour mobility within the enlarged EU


Katarzyna BUDNIK, How do economies with open labour markets work?


Sylwia ROSZKOWSKA, A stock-flow matching function. The case of Poland


12:30 – 13:00  Coffee break


13:00 – 14:00  Session 2A: Cointegration
Chair: Michał Majsterek




Błażej MAZUR, Estimation of large demand systems in VECM form


13:00 – 13:30  Session 2B: Bayesian Econometrics

                        Chair: Robert Kruszewski


Jacek OSIEWALSKI, Bayesian Value-at-Risk for large portfolios: methodological issues


14:00 – 15:00  Lunch


15:00 – 16:00  Session 3A: Currency Crises

                        Chair: Małgorzata Doman


Wojciech GRABOWSKI, Qual-VECM Approach in the currency crises modelling


Agata KLIBER, Paweł KLIBER, Interdependences among Easter and Central European currencies. A lesson from the crisis


15:00 – 16:00  AMFET Session 3B: Macroeconomic Modelling I

                        Chair: Francesco Battalia


Toshiaki HASEGAWA, Factor decomposition of  labor share in Japan


Władysław WELFE, Long-term macroeconometric model for Poland


16:00 – 17:00  COMISEF Session 4A: Heuristics Optimization

                        Chair: Peter Winker


Viktoria BLUESCHKE-NIKOLAEVA, Dimitri BLUESCHKE, Reinhard NECK, OPTCON5: An algorithm for the optimal control of nonlinear stochastic models


Marianna LYRA, Optimization heuristics for determining internal rating grading scales


16:00 – 17:00  Session 4B: Quantitative Finance I

                        Chair: Ryszard Doman


Barbara BĘDOWSKA-SÓJKA, Macroeconomic announcements and volatility of intraday WIG20 futures


Marc PAOLELLA, CHICAGO: A fast and accurate method for portfolio risk calculation


17:00 – 17:30  Coffee break


17:30 – 18:30  Session 5A: Game Theory and Mathematical Economics

                        Chair: Henryk Gurgul


Phillip HUNGERLAENDER, N-person dynamic Stackelberg difference games with open-loop information pattern


Robert Kruszewski, Chaotic dynamics of a Hicks-type model with expectations


17:30 – 18:30  COMISEF Session 5B: Macroeconomic Modelling II

                        Chair: Michal Olexa


Reinhard NECK, Gottfried HABER, Klaus WEYERSTRASS, Optimal exchange rate and fiscal policies for Slovenia


Leonid SILBERMANN, Where has all the money gone? A post-mortem examination of the “Neuer Markt” in Germany


19:00                    Ceremonial Dinner



Friday, December 5, 2008


8:00 – 9:00       Breakfast


8:30 – 9:00      AMFET Meeting


9:00 – 14:00    Sightseeing Tour


14:00 – 15:00  Lunch


15:00 – 16:00  Invited Session II

                        Chair: J. Osiewalski


Wojciech CHAREMZA, Svetlana MAKAROVA, Yaroslav PRYTULA, Julia RASKINA, Yulia VYMYATNINA, A small forward-looking inter-country model


16:00 – 17:00  COMISEF Session 6A: Quantitative Finance II

                        Chair: Anna Staszewska


Akwum ONWUNTA, Michael KALKBRENER, Calibration of structural credit portfolio models


Enrico SCHUMANN, Manfred GILLI, Gerda CABEJ, A comparison of optimisation criteria in portfolio selection: An update


16:00 – 17:00  AMFET Session 6B: National Economy Modelling

                        Chair: Waldemar Florczak


Miroslav KLUCIK, Jan HALUSKA Composite leading indicator for the Slovak economy


Bartosz RYBARCZYK, et al., New structural macroeconomic model of the NBP


17:00 – 17:30  Coffee break


17:30 – 18:30  COMISEF Session 7A: Econometric Methods

                        Chair: Wojciech Charemza


Victor BYSTROV, Structural instability in dynamic factor models


Anna STASZEWSKA, Confidence bands for VAR forecast paths


17:30 – 18:30  COMISEF Session 7B: Genetic Algorithms

                         Chair: Mateusz Pipień


Francesco BATTAGLIA, Mattheos PROTOPAPAS, Time-varying thereshold model building by genetic algorithms


Mattheos PROTOPAPAS, Elias KOSMATOPOULOS, Genetic algorithms for Cournot games


19:00-21.00    Dinner



Saturday, December 6, 2008


8:00 – 9:00       Breakfast


10:00 – 11:30  Session 8A: Monetary Policy

                        Chair: Justyna Wróblewska


Oskar KRZESICKI, Modeling money demand in Poland


Krzysztof MAKARSKI, Michał GRADZEWICZ, The welfare cost of monetary policy loss after the euro adoption


Magdalena OSIŃSKA, In-the-sample and out-of-sample Granger casuality in the money demand for Poland


10:00 – 11:30  Session 8B: Methods and Applications

                        Chair: Piotr Kębłowski


Sheri M. MARKOSE, Optimization with regime switching dynamic weights


Paweł STRAWIŃSKI, What drives the unemployment rate in Poland?


 Renata WRÓBEL-ROTTER, Sensitivity analysis for DSGE models


11:30 – 12:30  Session 9A: Quantitative Finance III

                        Chair: Sheri M. Markose


Piotr MAĆKOWIAK, Adaptive rolling plans are good


Elżbieta RYCHŁOWSKA-MUSIAŁ, Sources of investment funds and the agency costs in a firm


11:30 – 12:30  AMFET Session 9B: Macroeconomic Modelling III

                        Chair: Władysław Welfe


Kazimierz KRAUZE, Anna KRAUZE, Public debt and economic growth in Poland


Arkadiusz WIŚNIOWSKI, Jakub BIJAK, Forecasting of immigration flows for selected European countries


13:00-14.00    Lunch