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Prognozowanie dziennej zmienności indeksu WIG określonej za pomocą danych o wyższej częstotliwości
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
It is generally acknowledged that squared daily returns on a financial instrument provide
a poor approximation of its daily volatility. It was first pointed out by Andersen and
Bollerslev that more accurate estimates are ...
Modele stopy spot na rynku polskim
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
In this paper early spot rate models are presented as well as regression method and general method of moments of estimation of their parameters. These models are calibrated according to the Polish market with WIBOR rates ...
Wielokryteriowy ranking Otwartych Funduszy Emerytalnych metodami AHP i PROMETHEE
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
In the paper we evaluate the activity of Opened-end Pension Founds in Poland (OPF) in two consecutive years, 2001 and 2002. Methods of multicriterial discrete optimisation (AHP and PROMETHEE) have been used to rank OPF. ...
Analiza płynności papierów wartościowych notowanych w systemie WARSET
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
In the most of papers dealing with capital markets, their authors concentrate mainly on
the price of value papers rather than on their liquidity.
In the paper the new measure of the liquidity is proposed. This measure ...
Ekonometryczna analiza skuteczności wybranych instrumentów Narodowego Banku Polskiego w ograniczaniu podaży pieniądza w Polsce
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
This paper is an attempt at showing the efficacy of basic tools used by National Bank
of Poland to reduce excessive money supply in Poland during the last six years. A set of
single equation models should indicate the ...
Kryteria nominalnej konwergencji, rozwój rynków finansowych i realna konwergencja
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
The article attempts to review the issue of the current Eastern enlargement o f the
European Union (EU) by the new candidate countries. The accepted obligations of the
membership have a permanent impact on the economic ...
Rozkład stóp zwrotu portfeli akcji zbudowanych w oparciu o semiwariancję
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
The distributions of the rates of return on the fixed target portfolios and classic
Markowitz’s ones are compared on example of companies listed on the Warsaw Stock
Exchange. The data used in the analysis refer to the ...
Zarys modelu sektora bankowego w gospodarce zamkniętej
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
The model is aimed at the analysis of the influence exerted by the behavior of the depositors and borrowers on the banking system.
Prognozowanie funkcjonowania rynków kapitałowych
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
The paper aims at brief review of forecasting problems of broadly understood capital
markets, i.e. the markets of physical capital, financial capital, human capital, authors law
capital. The considered problems include ...
Wykorzystanie funkcji Holdera w modelowaniu cen spółek na WGPW
(Wydawnictwo Uniwersytetu Łódzkiego, 2003)
In this work there is considered a problem of variation variability of the searched lime
series, observed on the financial markets. To do this one has to see through the standard
Brownian motion and carry out its simulation. ...