Vol. 10 (2010)

Articles

• Liquidity and Market Microstructure Noise: Evidence from the Pekao Data

  Małgorzata Doman

  5-14

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• European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis

  Joanna Bruzda

  15-30

  PDF
• Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction

  Ryszard Doman

  31-42

  PDF
• Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

  Blanka Łęt

  43-50

  PDF
• Forecasting Financial Processes by Using Diffusion Models

  Piotr Płuciennik

  51-60

  PDF
• The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures

  Joanna Górka

  61-81

  PDF
• The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean

  Paweł Miłobędzki

  83-95
• Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient

  Witold Orzeszko

  97-106

  PDF
• Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error

  Mariola Piłatowska

  107-119

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• Unobserved Component Model for Forecasting Polish Inflation

  Jacek Kwiatkowski

  121-129

  PDF
• The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule

  Anna Michałek

  132-143

  PDF