Econometric Modeling of Inter-Order Durations

Bień-Barkowska, Katarzyna

doi:10.12693/aphyspola.127.a-7

Cited by 3 publications

(1 citation statement)

References 46 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Literature on the causality directions between the considered markets refers especially to the Granger causality tests, vector autoregressive models, vector error correction models and threshold error correction models [9][10][11][12][13][14][15][16][17], also delivering often mutually exclusive results.…”

Section: Literature Reviewmentioning

confidence: 99%

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Kołtuniak

2016

Acta Phys. Pol. A

View full text Add to dashboard Cite

The objective of this study is to verify the existence of the spillover effects within the complex system of internationally co-integrated real estate and financial markets in the case of the growth rates of the price indices of the direct real estate and indirect real estate investment markets within the selected national economies in the CEE region and to discuss the time stability of their directions, using research methods with physics and econometrics origins. The article considers the case of potential spillover effects between the Polish and Austrian national economies. Presented results have been obtained using wavelet analysis methods, such as wavelet coherency, wavelet phase difference, and wavelet partial phase difference analyses, enabling to check the indicated stability both in the time and frequency domains and to detect any potential structural changes dates. The results have not confirmed the hypotheses that the directions of the mentioned spillover effects displayed time stability in the examined period (Q4 2004-Q4 2014), which disproves the usefulness of the knowledge of the current directions of the indicated effects in the scope of performing long term investment policy, as well as in the scope of projecting the long term internal housing policies and long term internal macroprudential policies within the complex system.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Kołtuniak

2016

Acta Phys. Pol. A

View full text Add to dashboard Cite

show abstract

Continuous Time Random Walks with memory and financial distributions

Montero

Masoliver

2017

Eur. Phys. J. B

View full text Add to dashboard Cite

The Polish contribution to financial econometrics. A review of methods and applications / Polski wkład w ekonometrię finansową. Przegląd metod i zastosowań

Osińska¹

2016

Ekonometria

View full text Add to dashboard Cite

Since 1982 the term "financial econometrics" has been present in the enormous literature that covers both methodologies and empirical analyses of the processes observed on the financial markets. The purpose of the presented paper is to indicate the milestones in financial econometrics and their usefulness and to show the contribution of the research from Poland into its development. 'Pure' financial econometrics methods are of special interest. The paper is directed at reviewing the recent methodologies and their applications. We focused on the contribution of Polish researchers into financial econometrics over the years, considering both the methodology and the applications. Some of the indicated publications are cited quite often, including international quotations, others are not very popular due to the language of the publication or the local reach of the journal, although many of them can be considered in line with the achievements that are presented in international empirical publications.

show abstract

Econometric Modeling of Inter-Order Durations

Cited by 3 publications

References 46 publications

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Continuous Time Random Walks with memory and financial distributions

The Polish contribution to financial econometrics. A review of methods and applications / Polski wkład w ekonometrię finansową. Przegląd metod i zastosowań

Contact Info

Product

Resources

About