The official language of the conference is English.

Publication history



MACROMODELS 2006


33th Macromodels 2006
Wladyslaw Welfe, Aleksander Welfe
ABSOLWENT, Lodz 2007, ISBN: 978-83-924305-4-4
Contents
Preface 5
Growth Modelling
Robert Kruszewski, Periodic and Quasi-Periodic Dynamics in Modified Samuelson Model 11
Pawel Kliber, Sensitivity of Optimal Growth Trajectories in a Continuous Setting 23
Adam Krawiec, Economic Growth with Public Capital and Investment Delay 35
Jacek Ktolowski, Money and Prices in The Polish Economy - Seasonal Cointegration Approach 87
Modelling Inflation
Robert Kelm, Michal Majsterek, Relationship Between Wages and Prices in the Polish Economy. An I(2) Approach 45
Anna Pajor, Bayesian Option Pricing with Stochastic Volatility and Stochastic Interest Rate 65
Justyna Wroblewska, Bayesian Analysis of Cointegration: An Application to Price-Wage Mechanism in Polish Economy 89
Piotr Burawski, Jacek Kwiatkowski, The Impact of European Union Integration on Volatility of Polish Agriculture Commodity Prices 103
Financial Markets Modelling
Malgorzata Doman, Modelling the Realized Volatility with Regime Switching Models: Results from Polish Financial Market 123
Piotr Pluciennik, Eliza Bruszkowska, Modelling and Forecasting the Implied Volatility of the WIG20 Index 137
Agata Kliber, Volatility Transmisson Along the Yield Curve in Polish Financial Market 155
Daria Filatowa, Marek Grzywaczewski, Mounir Zili, Portfolio Optimalization Problem of Mertons' Market Model Driven by a Fractional Brownian Motion 181
Ryszard Doman, Modelling Conditional Dependence Between Polish Financial Returns Using Copula-Based Dependence Measures 199
Econometric Methodology
Wojciech Grabowski, Integrated Time Series in Binary Choice Models 215
Anna Staszewska, Learning about the Shape of Impulse Response Functions 235
Jacek Osiewalski, Anna Pajor, Mateusz Pipien, Bayesian Comparison of Bivariate GARCH, SV and Hybrid Models 247