Article 2018
Authors / editors: Ryszard Węgrzyn
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
Purpose – After the bear market associated with the recent financial crisis, it was possible to observe the reversal of trends and the beginning of the long-term bull market in the first months of 2009. The purpose of the article is to conduct and present a comparative analysis o…
DOI: 10.18276/frfu.2018.94/2-10 · ISSN: 2450-7741
Article 2017
Authors / editors: Bogdan Włodarczyk
Published in: Studia i Prace WNEiZ US
The article analyses the meaning of the asymmetry and long memory effects in modelling and forecasting the conditioned volatility and the market risk on the commodity market on the examples of gold and silver. A wide range of linear and non-linear models of the GARCH type were us…
DOI: 10.18276/sip.2017.50/1-17 · ISSN: 2450-7733
Article 2017
Authors / editors: Ewa Widz
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
Purpose – to examine the occurrence of Granger causality between return rates or return rates volatility and trading volume of selected indices of the Warsaw Stock Exchange.
Design/Methodology/approach – the analysis of the Pearson correlation coefficients, the Granger causality…
DOI: 10.18276/frfu.2017.86-33 · ISSN: 2450-7741
Article 2016
Authors / editors: Jerzy Gajdka, Piotr Pietraszewski
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
The paper discusses the problem of excessive volatility of stock prices when compared with changes in their fundamental value, determined as the present value of dividends paid by the company. The results of research on this issue for the US market, initiated and popularized by R…
DOI: 10.18276/frfu.2016.4.82/2-07 · ISSN: 2450-7741
Article 2016
Authors / editors: Eliza Buszkowska
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
This paper uses cluster analysis in the field of multivariate statistics to test the period of the financial crisis of years 2007–2013.With these algorithms were grouped spreads between interbank market rate and the OIS. The author debates on the possibility of using this method …
DOI: 10.18276/frfu.2016.79-29 · ISSN: 2450-7741