The official language of the conference is English.

Publication history


32th Macromodels 2005
Wladyslaw Welfe, Aleksander Welfe
Wydawnictwo Uniwersytetu Lodzkiego, Lodz 2006, ISBN: 978-83-917654-0-1
Preface 3
Modelling Non Stationery Time Series
Anindya Banarjee, Josep Lluis Carrion-i-Silvestre, Cointegration in Panels Data with Breaks and Cross Section 9
Robert Kelm, Michal Majsterek, The I(2) Analysis of Money Demand and Inflation in Poland in the Transition Period 1995-2005 49
Piotr Klebowski, Small Sample Power of Bartlett Corrected Likehood Ratio Test of Cointegration Rank 73
Jacek Kotlowski, Money and Prices in The Polish Economy - Seasonal Cointegration Approach 87
Anna Pajor, Bayesian VECM-SV Models for the Main Polish Exchange Rates 135
Anna Staszewska, Confidence Bands for Impulse Response Paths 155
Aleksander Welfe, Wojciech Grabowski, Stationary Testing and Error Correcting Model For Censored Time Series 169
Justyna Wroblewska, Bayesian Analysis of Cointegration: an Application to Price Inflation in Poland 183
Bayesian Econometrics
Jacek Osiewalski, Anna Pajor, Mateusy Pipien, Comparing Models and Posterior Inferences in the Case of Bivariate GARCH and SV Structures for Exchange Rates 203
Mateusz Pipien, Building Bayesian Hedging Strategies Under GAERCH Models with Conditional Skewed-t or α-Stable Distribution 229
Modelling Financial Processes
Victor Ajevskis, Nadezha Sinenko, Exchange Rate Dynamical Model with the Terminal Cindition of Joining Currency Area 249
Malgorzata Doman, Modeling Volatility of Irregularly Spaced Financial Data from the Warsaw Stock Exchange 269
Ryszard Doman, Modelling Dependence between Polish Financial Returns Using Dynamic Copula Models 285
Daria W. Filatowa, Marek Grzywaczewski, Some Comments on Stochastic Model Selection for Incomplete Financial Markets Assets Prices Description 299
Henryk Gurgul, Pawel Majdosz, Market Behaviour around Profit-Warning Announcements 313