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

2013/09/B/HS4/01945

Keywords

Descriptors

  • HS4_3: Ekonometria i metody statystyczne
  • HS4_6: Rynki finansowe, bankowość, finanse przedsiębiorstw, finanse publiczne
  • HS4_1: Makroekonomia (w tym: równowaga ekonomiczna, wzrost gospodarczy, wahania koniunkturalne w globalnej gospodarce, ekonomia pracy);

Panel

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

Host institution

UNIWERSYTET EKONOMICZNY W KRAKOWIE, Wydział Zarządzania

Voivodeship: małopolskie

Other projects carried out by the institution »

Principal investigator (from the host institution)

dr hab. Mateusz Paweł 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
2014-02-06
Project end date
2017-08-05
Project duration
42 months (the same as in the proposal)
Project status
Project settled

Equipment purchased [PL]

  1. Komputer przenośny - notebook. Cost: 21 000 PLN
  2. Komputer stacjonarny typu "stacja robocza". Cost: 21 000 PLN

Information in the final report

Publication in academic press/journals (20)

  1. 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 (year: 2018, volume: 22 (5), pages: 46043), Publisher: DE GRUYTER
    Status:
    Published
    DOI:
    10.1515/snde-2017-0071 – link to the publication

  2. 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 (year: 2016, volume: 11(4), pages: 769-783), Publisher: Polish Economic Society Branch in Toruń
    Status:
    Published
    DOI:
    10.12775/EQUIL.2016.035 – link to the publication

  3. Growth Cycle Analysis : the Case of Polish Monthly Macroeconomic Indicators

    Authors:
    Mazur B.
    Academic press:
    Folia Oeconomica Cracoviensia (year: 2016, volume: 57, pages: 37-53), Publisher: O/PAN Kraków
    Status:
    Published

  4. 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 (year: 2015, volume: 7, pages: 169-186), Publisher: Polish Academy of Sciences, Lodz Branch
    Status:
    Published
    DOI:
    link to the publication

  5. 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 (year: 2015, volume: 1, pages: 13150), Publisher: Wiley
    Status:
    Published
    DOI:
    10.1111/jtsa.12163 – link to the publication

  6. Probabilistic predictive analysis of business cycle fluctuations in Polish economy

    Authors:
    Błażej Mazur
    Academic press:
    Equillibrium (year: 2017, volume: 12, pages: 435-452), Publisher: UMK Toruń
    Status:
    Published
    DOI:
    10.24136/eq.v12i3.23 – link to the publication

  7. 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 (year: 2015, volume: 56, pages: 35-80), Publisher: Polish Academy of Sciences Cracow Branch
    Status:
    Published

  8. On Bayesian Inference for Almost Periodic in Mean Autoregressive Models

    Authors:
    Lenart Ł., Mazur B.
    Academic press:
    Przegląd Statystyczny (year: 2016, volume: 63, pages: 255-271), Publisher: Komitet Statystyki i Ekonometrii PAN
    Status:
    Published
    DOI:
    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 (year: 2015, volume: 56, pages: 81-112), Publisher: Polish Academy of Sciences Cracow Branch
    Status:
    Published

  10. 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 (year: 2016, volume: 56, pages: 139-185), Publisher: O/PAN Kraków
    Status:
    Published

  11. Koncepcja wstęgowego zegara cyklu koniunkturalnego w ujęciu nieparametrycznym = Nonparametric Band Business Cycle Clock

    Authors:
    Lenart Ł., Pipień M.
    Academic press:
    Przegląd Statystyczny (year: 2016, volume: 63, pages: 375-390), Publisher: Komitet Statystyki i Ekonometrii PAN
    Status:
    Published
    DOI:
    link to the publication

  12. On the Choice of the Threshold in POT Risk Assessment - Comparison within GARCH Models

    Authors:
    Majda J., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (year: 2016, volume: 57, pages: 55-68), Publisher: O/PAN Kraków
    Status:
    Published

  13. Porównanie metod estymacji wewnątrzdziennej sezonowości w szeregach danych transakcyjnych spółki PZU

    Authors:
    Błaż M., Pipień M.
    Academic press:
    Folia Oeconomica Cracoviensia (year: 2016, volume: 56, pages: 105-138), Publisher: O/PAN Kraków
    Status:
    Published

  14. Subsampling for nonstationary time series with non-zero mean function

    Authors:
    Anna Dudek, Łukasz Lenart
    Academic press:
    Statistics and Probability Letters (year: 2017, volume: 129, pages: 252-259), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2017.06.002 – link to the publication

  15. The Dynamics of the Credit Cycle in Selected Asian Countries

    Authors:
    Łukasz LENART, Mateusz PIPIEŃ
    Academic press:
    Folia Oeconomica Cracoviensia (year: 2017, volume: 58, pages: 127-134), Publisher: PAN O/Kraków
    Status:
    Published
    DOI:
    link to the publication

  16. 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 (year: 2017, volume: 9, pages: 201-241), Publisher: PAN O/Łódź
    Status:
    Published
    DOI:
    link to the publication

  17. 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 (year: 2017, volume: 9, pages: 29-67), Publisher: PAN O/Łódź
    Status:
    Published
    DOI:
    link to the publication

  18. Detecting the Periodicity of Autocovariance Function for M-dependent Time Series by Graphical Method

    Authors:
    Lenart Ł.
    Academic press:
    Folia Oeconomica Cracoviensia (year: 2016, volume: 57, pages: 19-36), Publisher: O/PAN Kraków
    Status:
    Published

  19. Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation

    Authors:
    Mazur B.
    Academic press:
    Dynamic Econometric Models (year: 2015, volume: 15, pages: 71-87), Publisher: UMK Toruń
    Status:
    Published
    DOI:
    link to the publication

  20. Discrete spectral analysis. The case of industrial production in selected European countries

    Authors:
    Lenart Ł.
    Academic press:
    Dynamic Econometric Models (year: 2015, volume: 15, pages: 27-47), Publisher: UMK Toruń
    Status:
    Published
    DOI:
    link to the publication

Articles in post-conference publications (3)

  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 (year: 2017, pages: 212-221), Publisher: Cracow Universuty of Economics
    Date:
    conference 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 (year: 2017, pages: 240-250), Publisher: Institute of Economic Research Toruń
    Date:
    conference 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 (year: 2015, pages: 1142-1156), Publisher: UMK Toriń
    Date:
    conference 18-19.06.2015
    Status:
    Published

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