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Dynamic Econometric Models
Number of Followers: 0  

  This is an Open Access Journal Open Access journal
ISSN (Print) 1234-3862 - ISSN (Online) 2450-7067
Published by UMK Homepage  [30 journals]
  • The Effects of Income Inequality and Redistribution in Democracies: A
           Dynamic Panel Data Approach

    • Authors: Goksu Aslan
      Pages: 19 - 39
      Abstract: In this paper, the simultaneous effects of the inequality and redistribution on economic growth are tested for the whole sample and for a subset of democratic countries, following system-GMM estimation on a panel dataset over a period from 1960 to 2010. Overall, net inequality has a negative significant effect on subsequent 5 years for both samples, while redistribution impact is only significant in democracies. The findings are related to the fact that in democracies, the governments tend to significantly redistribute more.
      PubDate: 2017-10-02
      DOI: 10.12775/DEM.2017.002
      Issue No: Vol. 17, No. 1 (2017)
  • Microeconometric analysis of telecommunication services market with the
           use of SARIMA models

    • Authors: Paweł Kaczmarczyk
      Pages: 41 - 57
      Abstract: The paper presents the results of testing the effectiveness of the multi sectional model in the short-term forecasting of hourly demand for telephone services. The model was based on the integration of the linear regression model with dichotomous independent variables and the SARIMA model. The regression was used as a filter of modelled variability of the demand. The SARIMA was applied to model residual variability. The research shows that the proposed integration provides a greater possibility of approximation and prediction in comparison to the non-supported linear regression model. The results of the study provide support for operational planning of telecommunications operator.
      PubDate: 2017-12-07
      DOI: 10.12775/DEM.2017.003
      Issue No: Vol. 17, No. 1 (2017)
  • The Application of Hidden Markov Models to the Analysis of Real

    • Authors: Michal Bernardelli, Mariusz Próchnik, Bartosz Witkowski
      Pages: 59 - 80
      Abstract: This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. Such an approach combines the analysis of cyclical and income-level convergence. Twelve macroeconomic variables in the sample of 28 EU countries observed in the 1995-2016 period are within the scope of the study. The results indicate, among others, the existence of real convergence of Poland toward the remaining EU countries in terms of the levels of GDP per capita at PPP and GDP growth rates, with a short-run period of divergence during the global crisis.
      PubDate: 2017-12-22
      DOI: 10.12775/DEM.2017.004
      Issue No: Vol. 17, No. 1 (2017)
  • Comparison of Certain Dynamic Estimation Methods of Value at Risk on
           Polish Gas Market

    • Authors: Alicja Ganczarek-Gamrot, Józef Stawicki
      Pages: 81 - 96
      Abstract: The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the gas base index quoted on the Day-Ahead Market (DAM) of the Polish Power Exchange (PPE) in the period commencing on January 2, 2014 and ending on April 13, 2017. The consistency and independence of the exceedances of estimated VaR were verified applying the Kupiec and Christoffersen tests.
      PubDate: 2017-12-21
      DOI: 10.12775/DEM.2017.005
      Issue No: Vol. 17, No. 1 (2017)
  • “Sell not only in May”. Seasonal Effect on Emerging and
           Developed Stock Markets

    • Authors: Tomasz Schabek, Henrique Castro
      Pages: 5 - 18
      Abstract: Described in Bauman and Jacobsen (2002) stock market anomaly still remains unexplained.  In long time series regressions and wide geographical spread research “Halloween effect” is significant on 19 amongst 73 markets, but also in 11 amongst 23 with long time series data. Data shows that abnormal returns could be realized also in strategies staring in October, November and December. We conclude that even with control of weather (sun hours), behavioral (sentiment index, number of IPOs) and macroeconomic (industrial production) factors, the effect persists.
      PubDate: 2016-12-28
      DOI: 10.12775/DEM.2017.001
      Issue No: Vol. 17, No. 1 (2016)
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
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Fax: +00 44 (0)131 4513327
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