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Contents

Krzysztof Jajuga: Interest Rate Modeling and Tools of Financial Econometrics;

Władysław Milo, M. Malaczewski: Stability of Equilibrium Point in the Case of Solow's Model;

Jacek Osiewalski, Anna Pajor, Mateusz Pipień: Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001);

Maria Szumksta-Zawadzka, Jan Zawadzki: Forecasting on the Basis of 'Parsimonious' Hierarchical Models; Małgorzata Doman: Estimating the Volatility of the Stock Index WIG20 with Weak-GARCH and Diffusion GARCH Models;

Ryszard Doman: Measuring Conditional Dependence of Polish Financial Returns;

Krystyna Strzała: Current Account Solvency and the Peldstein-Horioka Puzzle;

Magdalena Osińska, Joanna Górka: Identification of Non-linearity in Economic Time Series;

Mariola Piłatowska: The Effects of the Incorrect Identification of Non-stationarity of Economic Processes for Prediction Mean Square Error;

Marcin Błażejowski: Econometric Model of 'Promotion Bubble': identification, analysis and application;

Joanna Bruzda: Empirical Verification of Money Demand Models: Non-linear Cointegration Analysis;

Ewa Dziawgo: Sensitivity Model Analysis of the Floating-strike Lookback Call Option Pricing;

Piotr Fiszeder: Modelling Financial Processes with Long Memory in Mean and Variance;

Piotr Fiszeder: Consequences of Congruence for GARCH Modelling; Jacek Kwiatkowski: A Bayesian Estimation and Testing of STUR Models with Application to Polish Financial Time Series;

Joanna Landmesser: Application of Hazard Models to Estimation of Unemployment Duration in Germany and Poland;

Anna Pajor: Modelling the Conditional Covariance Matrix in Stochastic Volatility Models with Applications to the Main Exchange Rates in Poland;

Mateusz Pipień: The Predictive Value at Risk and Capital Requirements for Market Risk. The case ofPLN/USD Exchange Rate;

Witold Orzeszko: Properties of STUR Processes in the Framework of Chaos Theory;

Elżbieta Szulc: Specification of the Dynamic Model with the Spatial Structure of Connections;

Ewa M. Syczewska: The Phillips Method of Fractional Integration Parameter Estimation and Aggregation of PLN Exchange Rates;

Tomasz Stryjewski: Simulative Analysis of a Company of the Basis of a Dynamic Econometric Model;

Marek Szajt: Modeling of State mnovativeness Based on Space-time Models;

Aneta Włodarczyk, Marcin Zawada: Markov Switching Model as an Example of Non-stationarity Exchange Rate Model;

Mirosław Wójciak, Aleksandra Wójcicka: Comparative Analysis of Credit Risk Change Dynamics;

Monika Kosko: An Application of Markov-switching Model to stock Returns Analysis;

Błażej Mazur: Imposing Economic Restrictions in a VECM-form Demand System;

Elżbieta Wiśniewska: Econometric Analysis of the Influence of Monetary Policy Instruments on the Nominal Sector of the Economy

280 pages, Paperback