Titlebook: Contemporary Trends and Challenges in Finance; Proceedings from the Krzysztof Jajuga,Lucjan T. Orlowski,Karsten Staehr Conference proceedin

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Determinants of the Spread Between POLONIA Rate and the Reference Rate: Dynamic Model Averaging ApprIn 2008 the Polish central bank (NBP) adapted the policy similar to the European Central Bank (ECB) and since then it has been trying to place the POLONIA rate around the NBP reference rate, mainly by influencing the liquidity conditions through open market operations. We try to answer the question

新陳代謝

World Natural Gas Markets: Characteristics, Basic Properties and Linkages of Natural Gas Pricese between the market participants all over the world. The natural gas prices on the American and European market are predominantly benchmarked to Henry Hub and National Balancing Point (NBP) natural gas. The goal of this paper is to compare basic properties of selected time series and to investigate

mendacity

degradation

Copper Price Discovery on COMEX, 2006–2015the period 4 Jan 2006–30 Dec 2015 and find that they are co-integrated and symmetrically revert to their long run equilibrium relation. We also reveal the existence of Granger causality running in both directions for all pairs of maturities. More interestingly, we observe 3 periods of an increased c

TERRA

A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectationsvariables: exchange rate, oil prices and interbank rate. To determine the existence of the dependences, also for the outliners, the methodology based on the DCC-.-copula model is applied. Time span covers 2009–2015. Dynamic Kendall’s τ and tail dependence coefficients for 2Y expectations prove to be

Detoxification

Additive

Order Imbalance Indicators in Asset Pricing: Evidence from the Warsaw Stock Exchangealance. The model employed in the research is a modified version of Fama and French (J Financ Econ 33(1):3–56, 1993) asset pricing model including additionally the ‘order imbalance factor’ built on the basis of the original imbalance indicators proposed by Nowak (Order imbalance on the Warsaw Stock

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