The official language of the conference is English.

Publication history



MACROMODELS 2004


31th Macromodels 2004
Wladyslaw Welfe, Aleksander Welfe
Wydawnictwo Uniwersytetu Lodzkiego, Lodz 2005, ISSN:0208-6018
Contents
Preface 3
Modelling Macroeconomic Processes
Robert Kelm, Medium Term Detenninants of the Polish Zloty - Euro Exchange Rate Misalignment 1995-2004 7
Adam Krawiec, A Note on Optimized Growth Model with Public Capital 31
Robert Kruszewski, Chaotic Dynamics in a Growth Model with Migration 37
Michal Majsterek, Robert Kelm, An 1(2) Analysis of Inflationary Processes in Poland 55
Blazej Mazur, Long-Run Structural Modelling of Aggregate Demand: An Application of Alternative Functional Forms 75
Aleksander Welfe, Piotr Kebiowski, Long-Run Relationships Between Wages and Prices in the Polish Economy: An Application of SVEqCM 95
Wladyslaw Welfe, Stylised, Empirical Model of Economic Growth 109
Modelling Financial Processes
Malgorzata Doman, Modelling Value at Risk with CAVIAR Models: The Case of Polish Financial Market 129
Ryszard Doman, Modeling Conditional Skewness and Kurtosis of the Polish Financial Returns 145
Jacek Kwiatkowski, Magdalena Osinska, Forecasting STUR Processes. A Comparison to Threshold and GARCH Models 159
Anna Pajor, Bayesian Comparison of Bivariate SV Models for Two Related Time Series 177
Mateusz Pipien, Value-At-Risk Estimates and Capital Requirements for Market Risk Obtained from GARCH Predictive Densities 197