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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Research on mechanisms of interdependence on financial markets - nonlinear, asymmetric stochastic dependencies in multivariate dynamic econometric models

2017/25/B/HS4/02529

Keywords:

stochastic dependence nonlinearity Bayesian inference financial contagion risk transmission

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance

Panel:

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

Host institution :

Uniwersytet Ekonomiczny w Krakowie, Kolegium Gospodarki i Administracji Publicznej

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: 4

Call: OPUS 13 - announced on 2017-03-15

Amount awarded: 395 460 PLN

Project start date (Y-m-d): 2018-01-12

Project end date (Y-m-d): 2022-01-11

Project duration:: 48 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Oprogramowanie specjalistyczne (15 000 PLN)
  2. Stacja robocza PC (2 szt.) (14 000 PLN)
  3. Komputer przenośny (3 szt.) (21 000 PLN)

Information in the final report

  • Publication in academic press/journals (6)
  • Articles in post-conference publications (3)
  1. Investigating the Heterogeneity of Economic Convergence in Latin America Countries-An Econometric Analysis of Systems of Regression Equations
    Authors:
    Jarco D., Pipień M.
    Academic press:
    Latin American Economic Review (rok: 2020, tom: 29, strony: 45308), Wydawca: CIDE
    Status:
    Published
    DOI:
    10.47872/laer-2020-29-6 - link to the publication
  2. Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling
    Authors:
    Kaszowska-Mojsa J., Pipień M.
    Academic press:
    Entropy (rok: 2020, tom: 2020, strony: 27030), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/e22020129 - link to the publication
  3. Cross Country Heterogeneity of the Procyclicality of Bank Loans: Evidence from OECD Countries using the SURE Model
    Authors:
    A. Anand, M. Pipień
    Academic press:
    International Journal of Management and Economics , Wydawca: Szkoła Główna Handlowa w Warszawie , Walter de Gruyter (Sciendo)
    Status:
    Submitted
    DOI:
    brak - link to the publication
  4. A Family of Flexible Multivariate Distributions with Applications in Empirical Finance
    Authors:
    Pipień M., Mazur B.
    Academic press:
    Acta Physica Polonica A (rok: 2020, tom: 138, strony: 65-73), Wydawca: IF PAN
    Status:
    Published
    DOI:
    10.12693/APhysPolA.138.65 - link to the publication
  5. Time-varying asymmetry and tail thickness in long series of daily financial returns
    Authors:
    Błażej Mazur, Mateusz Pipień
    Academic press:
    Studies in Nonlinear Dynamics & Econometrics (rok: 2018, tom: 22 (5), strony: 45312), Wydawca: DE GRUYTER
    Status:
    Published
    DOI:
    10.1515/snde-2017-0071 - link to the publication
  6. On the Role of the Capital Flows in Convergence Processes – An Application of Systems of Regression Equations in the case of CEE Countries
    Authors:
    Adamczyk P., Pipień M.
    Academic press:
    Central European Journal of Economic Modellling and Econometrics (rok: 2022, tom: 14, strony: 303-333), Wydawca: PAN O/Łódź
    Status:
    Published
    DOI:
    10.24425/cejeme.2022.142712 - link to the publication
  1. Cyclical fluctuations of global food prices: a predictive analysis
    Authors:
    B. Mazur
    Conference:
    The 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Conference Proceedings (rok: 2018, ), Wydawca: Cracow University of Economics
    Data:
    konferencja 8-12.05.2018
    Status:
    Published
    DOI:
    link to the publication
  2. A family of non-standard bivariate distributions with applications to unconditional modelling in empirical finance
    Authors:
    Błażej Mazur, Mateusz Pipień
    Conference:
    The 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Conference Proceedings (rok: 2018, ), Wydawca: Cracow University of Economics
    Data:
    konferencja 8-12.2018
    Status:
    Published
    DOI:
    link to the publication
  3. Modelling Intensity of EUR/PLN High Frequency Trade – a Comparison of ACD-type Models
    Authors:
    Anna Chudzicka-Bator, Mateusz Pipień
    Conference:
    The 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Conference Proceedings (rok: 2018, ), Wydawca: Cracow University of Economics
    Data:
    konferencja 8-12.05.2018
    Status:
    Published
    DOI:
    link to the publication

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