The official language of the conference is English.

Publication history



MACROMODELS 2003


30th Macromodels 2003
Wladyslaw Welfe, Aleksander Welfe
Wydawnictwo Uniwersytetu Lodzkiego, Lodz 2004, ISBN:83-7171-801-2
Contents
Preface 3
Demand and Innovation Systems
Blazej Mazur, Non-Piglog Demand Systems: An Empirical Comparison 7
Marek Szajt, Innovative Activity in European Countries: Space-Time Analysis 21
Financial Models
Ewa Marta Syczewska, Comparison of Exchange Rate Behaviour for Hungary, Latvia and Poland 39
Konstantins Kozlovskis, Vladimirs Jansons, Markowitz's Portfolio Selection Modified by Time- Varying Conditional Parameters 63
Matgorzata Doman, The Joint Dynamics of Returns, Volatility, and Volume on the Warsaw Stock Exchange 73
Henryk Gurgul, Pawt Majdosz, The information Content of Earning Forecasts Announcements: the Case of the Polish Stock Exchange 87
Ryszard Doman, Forecasting the Polish Stock Market Volatility with Hamilton's Markov Switching Models 103
ARCH and GARCH Models
Mateusz Pipien, GARCH Processes with Skewed-t and Stable Conditional Distributions. Dynamic Bayesian Comparison for WIBOR Interest Rates 125
Piotr Fiszeder, Forecasting Volatility with GARCH Models 139
Henryk Gurgul, Pawei Majdosz, Trading Activity and Return Volatility: Evidence from the Polish Stock Market 153
Econometric Methodology
Malgorzata Osinska, Stochastic Unit Roots Processes - Properties and Application 169
Kazimierz Krauze, Testing for Structural Change in a Cointegration Analysis of the PPP and the UIP for Poland 181
Anna Staszewska, Inference in VAR Modelling: Some Preliminaries 199