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1

On the Empirical Importance of the Conditional Skewness Assumption in Modelling the Relationship between Risk and Return

100%

Pipień M.

Acta Physica Polonica A

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2008

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vol. 114

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issue 3

517-524

EN

We present the results of an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal Capital Asset Pricing Model, proposed by Merton we built a general sampling distribution suitable in analysing this relationship. The most important feature of our assumptions is that the skewness of the conditional distribution of returns is used as an alternative source of relation between risk and return. This general specification relates to Skewed Generalized Autoregressive Conditionally Heteroscedastic-in-Mean model. In order to make conditional distribution of financial returns skewed we considered the unified approach based on the inverse probability integral transformation. In particular, we applied hidden truncation mechanism, inverse scale factors, order statistics concept, Beta and Bernstein distribution transformations and also a constructive method. Based on the daily excess returns on the Warsaw Stock Exchange Index we checked the empirical importance of the conditional skewness assumption on the relation between risk and return on the Warsaw Stock Market. We present posterior probabilities of all competing specifications as well as the posterior analysis of the positive sign of the tested relationship.

2

Cyclical Properties of the Credit and Production in Selected European Countries - a Comparison of Deterministic and Stochastic Cycle Approach

63%

Lenart Ł., Pipień M.

Acta Physica Polonica A

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2018

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vol. 133

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issue 6

1371-1387

EN

We develop two nonparametric approaches to analyze the empirical properties of economic cycles. The first approach is based on almost periodically correlated time series commonly used in signal processing. Within this framework we depart from standard scheme of analysis that relies on stationarity assumption. The second approach is based on spectral analysis provided the stationarity assumption of cyclical fluctuations. We contribute to the existing literature in both, theoretical and empirical aspects. From theoretical viewpoint we develop methods of formal statistical inference about the main properties of elements of the economic cycle. In the first approach the testing procedure utilizing subsampling approach is proposed. In the second approach the method of analysis of concentration of the spectral mass is developed. Based on the monthly series of the credit aggregate and the industrial production, taken from selected European countries, we discuss the empirical properties of the credit cycle and we compare them with the production cycle. Our empirical findings show substantial diversity of the credit cycle across analysed countries. Also cyclical component in the credit series is identified much stronger than in case of the series of industrial production. Also the production cycles are much more synchronized across countries compared to the credit cycles.

3

Almost Periodically Correlated Time Series in Business Fluctuations Analysis

63%

Lenart Ł., Pipień M.

Acta Physica Polonica A

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2013

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vol. 123

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issue 3

567-583

EN

We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the almost periodically correlated time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by filtering. As an illustration we characterise the main properties of business cycles in industrial production index for Polish economy.

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3 Acta Physica Polonica A

1 2018

1 2013

1 2008

3 Pipień M.

2 Lenart Ł.

On the Empirical Importance of the Conditional Skewness Assumption in Modelling the Relationship between Risk and Return

Cyclical Properties of the Credit and Production in Selected European Countries - a Comparison of Deterministic and Stochastic Cycle Approach

Almost Periodically Correlated Time Series in Business Fluctuations Analysis