Nauki Humanistyczne i Społeczne

Central European Journal of Economic Modelling and Econometrics

Zawartość

Central European Journal of Economic Modelling and Econometrics | 2018 | No 1 |

Abstrakt

In this study, we model realized volatility constructed from intra-day high-frequency data. We explore the possibility of confusing long memory andstructural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The resultsshow evidence for the presence of long memory in the exchange rates’ realizedvolatility. From the Bai–Perron test, we found structural breakpoints that matchsignificant events in financial markets. Furthermore, the findings provide strongevidence in favour of the presence of long memory.

Przejdź do artykułu

Autorzy i Afiliacje

Abderrazak Ben Maatoug
Rim Lamouchi
Russell Davidson
Ibrahim Fatnassi

Abstrakt

The aim of this contribution is to derive a general matrix formula for the net period premium paid in more than one state. In order to avoid “overpayment” which implies higher premiums we give a formula for replacement of lump sum benefit into annuity benefits paid in more than one state. The obtained result is useful for example to more advanced models of dread disease insurances allowing period premiums paid by both healthy and ill person (e.g. not terminally yet). As an application, we supply analysis of dread disease insurances against the risk of lung cancer based on the actual data for the Lower Silesian Voivodship in Poland.

Przejdź do artykułu

Autorzy i Afiliacje

Joanna Dębicka
Beata Zmyślona

Abstrakt

In economics we often face a system which intrinsically imposes a structure of hierarchy of its components, i.e., in modeling trade accounts related to foreign exchange or in optimization of regional air protection policy. A problem of reconciliation of forecasts obtained on different levels of hierarchy has been addressed in the statistical and econometric literature many times and concerns bringing together forecasts obtained independently at different levels of hierarchy. This paper deals with this issue with regard to a hierarchical functional time series. We present and critically discuss a state of art and indicate opportunities of an application of these methods to a certain environment protection problem. We critically compare the best predictor known from the literature with our own original proposal. Within the paper we study a macromodel describing the day and night air pollution in Silesia region divided into five subregions.

Przejdź do artykułu

Autorzy i Afiliacje

Daniel Kosiorowski
Dominik Mielczarek
Jerzy P. Rydlewski

Redakcja

Editors
JACEK OSIEWALSKI, Cracow University of Economics, Poland
ALEKSANDER WELFE, University of Lodz, Poland

Co-Editors

KATARZYNA BIEŃ-BARKOWSKA, SGH Warsaw School of Economics, Poland
MIKOŁAJ CZAJKOWSKI, University of Warsaw, Poland
JAKUB GROWIEC, SGH Warsaw School of Economics, Poland
MAREK GRUSZCZYŃSKI, SGH Warsaw School of Economics, Poland
BOGUMIŁ KAMIŃSKI, SGH Warsaw School of Economics, Poland
MARCIN KOLASA, SGH Warsaw School of Economics, Poland
ANNA PAJOR, Cracow University of Economics, Poland

Associate Editors
KARIM ABADIR, The American University in Cairo, Cairo, Egypt
ANINDYA BANERJEE, University of Birmingham, UK
STEPHEN HALL, University of Leicester, UK
GARY KOOP, University of Strathclyde, Glasgow, UK
MARK STEEL, University of Warwick, UK
MARTIN WAGNER, Technical University of Dortmund, Germany
JAN WERNER, University of Minnesota, USA
PETER WINKER, University of Giessen, Germany

Editorial Board

HERMAN van DIJK, Erasmus University Rotterdam and VU University Amsterdam, The Netherlands
LAWRENCE R. KLEIN, University of Pennsylvania, Benjamin Franklin Professor of Economics, USA
TIMO TERASVIRTA, University of Aarhus, Denmark
HELMUT LUETKEPOHL, Freie Universität Berlin, Germany

Publishing Editor

ANNA STASZEWSKA-BYSTROVA, University of Lodz, Poland

Editorial Assistant

AGNIESZKA RYGIEL, Cracow University of Economics, Poland

Kontakt

CEJEME Editorial Office - Ms. Karolina Jaszczyk, Polish Academy of Sciencies - Lodz Branch
Piotrkowska Str. 137/139, 90-434 Lodz, Poland
e-mail: cejeme@pan.pl

Instrukcje dla autorów

Submission Guidelines and Instructions for Authors of accepted papers please visit: http://cejeme.org/submissionguidelines.aspx

Ta strona wykorzystuje pliki 'cookies'. Więcej informacji