Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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The econometrics of cyclical fluctuations - business cycles, financial cycles and interactions

2013/09/B/HS4/01945

Keywords:

business cycle financial cycle intra-day cyclicality seasonality almost periodically correlated processes subsampling Bayesian methods business cycle synchronisation

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance
  • HS4_1: Macroeconomics (incl. economic balance, economic growth, business cycles in global economy, labour economics)

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Krakowie, Wydział Zarządzania

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Mateusz Pipień 

Number of co-investigators in the project: 3

Call: OPUS 5 - announced on 2013-03-15

Amount awarded: 431 301 PLN

Project start date (Y-m-d): 2014-02-06

Project end date (Y-m-d): 2017-08-05

Project duration:: 42 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Komputer stacjonarny typu "stacja robocza" (21 000 PLN)
  2. Komputer przenośny - notebook (21 000 PLN)

Information in the final report

  • Publication in academic press/journals (21)
  • Articles in post-conference publications (3)
  1. Generalized resampling scheme with application to spectral density matrix in almost periodically correlated class of time series
    Authors:
    Lenart Ł.
    Academic press:
    Journal of Time Series Analysis (rok: 2015, tom: 1, strony: 13150), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/jtsa.12163 - link to the publication
  2. The Dynamics of the Credit Cycle in Selected Asian Countries
    Authors:
    Łukasz LENART, Mateusz PIPIEŃ
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2017, tom: 58, strony: 127-134), Wydawca: PAN O/Kraków
    Status:
    Published
    DOI:
    brak - link to the publication
  3. Growth Cycle Analysis : the Case of Polish Monthly Macroeconomic Indicators
    Authors:
    Mazur B.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2016, tom: 57, strony: 37-53), Wydawca: O/PAN Kraków
    Status:
    Published
    DOI:
    brak - link to the publication
  4. Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries
    Authors:
    Łukasz LENART, Mateusz PIPIEŃ
    Academic press:
    Central European Journal of Economic Modellling and Econometrics (rok: 2017, tom: 9, strony: 201-241), Wydawca: PAN O/Łódź
    Status:
    Published
    DOI:
    brak - link to the publication
  5. On Bayesian Inference for Almost Periodic in Mean Autoregressive Models
    Authors:
    Lenart Ł., Mazur B.
    Academic press:
    Przegląd Statystyczny (rok: 2016, tom: 63, strony: 255-271), Wydawca: Komitet Statystyki i Ekonometrii PAN
    Status:
    Published
    DOI:
    brak - link to the publication
  6. On the Choice of the Threshold in POT Risk Assessment - Comparison within GARCH Models
    Authors:
    Majda J., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2016, tom: 57, strony: 55-68), Wydawca: O/PAN Kraków
    Status:
    Published
    DOI:
    brak - link to the publication
  7. Statistical analysis of business cycle fluctuations in Poland before and after the crisis
    Authors:
    Lenart Ł., Mazur B., Pipień M.
    Academic press:
    Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2016, tom: 11(4), strony: 769-783), Wydawca: Polish Economic Society Branch in Toruń
    Status:
    Published
    DOI:
    10.12775/EQUIL.2016.035 - link to the publication
  8. Subsampling for nonstationary time series with non-zero mean function
    Authors:
    Anna Dudek, Łukasz Lenart
    Academic press:
    Statistics and Probability Letters (rok: 2017, tom: 129, strony: 252-259), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2017.06.002 - link to the publication
  9. Własności empiryczne cyklu finansowego – analiza porównawcza Czech, Polski, Węgier, Wielkiej Brytanii i USA
    Authors:
    Lenart Ł., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2015, tom: 56, strony: 81-112), Wydawca: Polish Academy of Sciences Cracow Branch
    Status:
    Published
    DOI:
    brak - link to the publication
  10. Detecting the Periodicity of Autocovariance Function for M-dependent Time Series by Graphical Method
    Authors:
    Lenart Ł.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2016, tom: 57, strony: 19-36), Wydawca: O/PAN Kraków
    Status:
    Published
    DOI:
    brak - link to the publication
  11. Discrete spectral analysis. The case of industrial production in selected European countries
    Authors:
    Lenart Ł.
    Academic press:
    Dynamic Econometric Models (rok: 2015, tom: 15, strony: 27-47), Wydawca: UMK Toruń
    Status:
    Published
    DOI:
    brak - link to the publication
  12. Koncepcja wstęgowego zegara cyklu koniunkturalnego w ujęciu nieparametrycznym = Nonparametric Band Business Cycle Clock
    Authors:
    Lenart Ł., Pipień M.
    Academic press:
    Przegląd Statystyczny (rok: 2016, tom: 63, strony: 375-390), Wydawca: Komitet Statystyki i Ekonometrii PAN
    Status:
    Published
    DOI:
    brak - link to the publication
  13. Statistical analysis of business cycle fluctuations in Poland before and after the crisis
    Authors:
    Lenart Ł., Mazur B., Pipień M.
    Academic press:
    Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2016, tom: 11 (4), strony: 769-783), Wydawca: INSTITUTE OF ECONOMIC RESEARCH-POLAND
    Status:
    Published
    DOI:
    10.12775/EQUIL.2016.035 - link to the publication
  14. Analiza efektów działania funduszu inwestycyjnego absolutnej stopy zwrotu zbudowanego na bazie raportów Commitments of Traders
    Authors:
    Mędoń J., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2016, tom: 56, strony: 139-185), Wydawca: O/PAN Kraków
    Status:
    Published
    DOI:
    brak - link to the publication
  15. Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
    Authors:
    Mazur B.
    Academic press:
    Dynamic Econometric Models (rok: 2015, tom: 15, strony: 71-87), Wydawca: UMK Toruń
    Status:
    Published
    DOI:
    brak - link to the publication
  16. Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA
    Authors:
    Lenart Ł., Pipień M.
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2015, tom: 7, strony: 169-186), Wydawca: Polish Academy of Sciences, Lodz Branch
    Status:
    Published
    DOI:
    brak - link to the publication
  17. Modelling Time Varying Asymmetry and Tail Behaviour in Long Series of Daily Financial Returns
    Authors:
    Błażej Mazur, Mateusz Pipień
    Academic press:
    Studies in Nonlinear Dynamics and Econometrics (rok: 2018, tom: 22 (5), strony: 45312), Wydawca: DE GRUYTER
    Status:
    Published
    DOI:
    10.1515/snde-2017-0071 - link to the publication
  18. Porównanie metod estymacji wewnątrzdziennej sezonowości w szeregach danych transakcyjnych spółki PZU
    Authors:
    Błaż M., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2016, tom: 56, strony: 105-138), Wydawca: O/PAN Kraków
    Status:
    Published
    DOI:
    brak - link to the publication
  19. Probabilistic predictive analysis of business cycle fluctuations in Polish economy
    Authors:
    Błażej Mazur
    Academic press:
    Equillibrium (rok: 2017, tom: 12, strony: 435-452), Wydawca: UMK Toruń
    Status:
    Published
    DOI:
    10.24136/eq.v12i3.23 - link to the publication
  20. Examination of Seasonal Volatility in HICP for Baltic Region Countries : Non-Parametric Test versus Forecasting Experiment
    Authors:
    Łukasz LENART
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2017, tom: 9, strony: 29-67), Wydawca: PAN O/Łódź
    Status:
    Published
    DOI:
    brak - link to the publication
  21. Analiza czasów trwania pomiędzy zmianami kierunku cen akcji - wpływ uwzględnienia wewnątrzdziennej sezonowości na ranking modeli ACD
    Authors:
    Białkowska J., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (rok: 2015, tom: 56, strony: 35-80), Wydawca: Polish Academy of Sciences Cracow Branch
    Status:
    Published
    DOI:
    brak - link to the publication
  1. Business cycle analysis with short time series: a stochastic versus a nonstochastic approach
    Authors:
    Łukasz Lenart, Błażej Mazur
    Conference:
    he 11th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2017, ), Wydawca: Cracow Universuty of Economics
    Data:
    konferencja 9-12.05.2017
    Status:
    Published
    DOI:
    link to the publication
  2. Density forecasts of Polish industrial production: a probabilistic perspective on business cycle fluctuations
    Authors:
    Błażej Mazur
    Conference:
    Contemporary Issues in Economy 9 (rok: 2017, ), Wydawca: Institute of Economic Research Toruń
    Data:
    konferencja 22-23.06.2017
    Status:
    Published
    DOI:
    link to the publication
  3. Statistical analysis of business cycle fluctuations in Poland before and after the crisis
    Authors:
    Lenart Ł., Mazur B., Pipień M.
    Conference:
    VIIIth INTERNATIONAL CONFERENCE ON APPLIED ECONOMICS CONTEMPORARY ISSUES IN ECONOMY (rok: 2015, ), Wydawca: UMK Toriń
    Data:
    konferencja 18-19.06.2015
    Status:
    Published

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