University of Lodz
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FindEcon 2016 Programme
Organisers: Department of Econometrics, University of Lodz
May 19-20, 2016, Faculty of Economics and Sociology, University of Lodz, Lodz, Poland

Thursday, May 19

Venue: Lodz, Rewolucji 1905r. No. 41, Room C101

08:30

09:00

Registration

09:00

09:30

Opening Addresses: Wladyslaw Milo (chairman of Programme Committee), Rector (University of Lodz) and Dean (the Faculty of Economics and Sociology)

09:30

10:30

Invited Lecture:

Chairman: TBA

Authors

Title

Affiliation

Country

Alfredas Račkauskas

Functional Data Analysis in Financial Econometrics

University of Vilnius

Lithuania

10:30

10:45

Coffee break

10:45

11:45

Session 1: Financial Econometrics I

Chairman: TBA

Katarzyna Brzozowska-Rup*, Antoni Leon Dawidowicz**

On an approach to latent class beta regression model

Kielce University of Technology*, the Jagiellonian University (Cracow)**

Poland

Barbara Będowska-Sójka

Smart beta concept: The evidence from the WSE

Poznań University of Economics and Business

Poland

Marcin Chlebus

May lognormal, Weibull or Gamma distributions improve the EWS-GARCH Value-at-Risk forecasts?

University of Warsaw

Poland

11:45

12:00

Coffee break

12:00

13:00

Session 2: Modeling Capital Markets

Chairman: TBA

Paweł Miłobędzki

Are Major Currencies a Hedge or a Safe Haven for Polish Stocks and Bonds?

University of Gdansk

Poland

Adam Zaremba, Adam Szyszka

Is there momentum in equity anomalies? Evidence from an emerging market

Poznań University of Economics and Business

Poland

Plamen Patev, Kaloyan Petkov, Nikola Iliev

CAPM versus RAM. Application of multifactor models in active portfolio management

I-Shou University, D.A. Tsenov Academy of Economics

Bulgaria

13:00

14:15

Lunch

14:15

15:15

Session 3: Macroeconomy and Financial Markets

Chairman: TBA

Mariusz Górajski

Risk and uncertainty in models of optimal monetary policy

University of Lodz

Poland

Dobromił Serwa*, Piotr Wdowiński**

Macro-financial linkages in the Polish economy: combined impulse-response functions in SVAR models

Narodowy Bank Polski (both), The Warsaw School of Economics*, University of Lodz**

Poland

Robert Kelm

The subprime crisis, exchange rate and the Polish external trade: Stylized facts and facts

University of Lodz

Poland

15:15

15:45

Coffee break + Poster Session
with Best Poster Prize Paper sponsored by: Timberlake

15:45

16:45

Session 4: Modeling Financial Markets

Chairman: TBA

Authors

Title

Affiliation

Country

Martyna Marczak, Thomas Beissinger

Bidirectional Relationship between Investor Sentiment and Excess Returns: New Evidence from the Wavelet Perspective

University of Hohenheim

Germany

Łukasz Goczek, Karol Partyka

The asymmetric behavior in interest rate setting - the case of the National Bank of Poland

University of Warsaw

Poland

Eliza Buszkowska-Khemissi

Research of spreads from the interbank market with the help of coefficient of multiple the non-linear correlation

Adam Mickiewicz University in Poznań

Poland

16:45

17:00

Coffee break

17:00

18:20

Session 5: Macroeconomic Models

Chairman: TBA

Jan Gadomski

Assessment of the Impact of the Reduction of the Gaseous Emissions on Growth in Poland. Assumptions and Preliminary Results

Polish Academy of Sciences

Poland

David Ramsey

Optimal Decision Making when Information on Offers is Gathered Sequentially

Wrocław University of Technology

Poland

Paweł Baranowski, Zbigniew Kuchta

Changes in nominal rigidities in Poland – a regime switching DSGE perspective

University of Lodz

Poland

Joanna Wyszkowska-Kuna

Financial services as a source of economic growth in the European Union countries

University of Lodz

Poland

19:45

21:45

Ceremonial dinner

Venue: Lodz, Kopcinskiego No. 16/18

Friday, May 20

Venue: Lodz, Rewolucji 1905r. No. 41, Room C101

09:30

10:30

Invited Session:

Chairman: TBA

Jacek Osiewalski, Krzysztof Osiewalski

Hybrid MSV-MGARCH models – general remarks and GMSF-SBEKK specifications

Cracow University of Economics

Poland

10:30

10:45

Coffee break

10:45

11:45

Session 6: Modeling Credit and Capital Markets

Chairman: TBA

Łukasz Lenart, Mateusz Pipień

The inference about the empirical properties of the credit cycle in Poland, Hungary and Czech Republic - subsampling approach in APC class of time series

Cracow University of Economics

Poland

Mariusz Górajski*, Dobromił Serwa**, Zuzanna Wośko**

Measuring expected time to default under stress conditions for corporate loans

University of Lodz*, The Warsaw School of Economics**

Poland

Paweł Sakowski, Robert Ślepaczuk*, Mateusz Wywiał**

Can we invest based on equity risk premia and risk factors from multifactor models?

University of Warsaw (all), Union Investment*, Quedex Derivatives Exchange**

Poland

11:45

12:00

Coffee break

12:00

13:00

Session 7: Statistical and Econometric Methods

Chairman: TBA

Łukasz Lenart, Błażej Mazur

Bayesian analysis of PAR models with almost periodicity in mean

Cracow University of Economics

Poland

Błażej Mazur, Mateusz Pipień

Time-varying asymmetry and tail behavior in long series of daily financial returns

Cracow University of Economics

Poland

Łukasz Lenart, Błażej Mazur

Business cycle analysis with short series: stochastic versus non-stochastic approach

Cracow University of Economics

Poland

13:00

14:00

Lunch

14:00

15:00

Session 8: Macroeconomic Policy Modeling and Forecasting

Chairman: TBA

Magdalena Grothe, Aidan Meyler

Inflation forecasts: Are market-based and survey-based measures informative?

European Central Bank

Germany

Lech Kruś, Irena Woroniecka-Leciejewicz

Monetary-Fiscal Game Analyzed Using a Macroeconomic Model for Poland

Polish Academy of Sciences

Poland

Grzegorz Szafrański, Damian Stelmasiak

Inflation forecasts and information flow

University of Lodz, Narodowy Bank Polski (both)

Poland

15:15

Conference Closing

Last Updated on Monday, 16 May 2016 10:51
 

Contact

Maciej Malaczewski
Secretary of FindEcon2016
University of Lodz
Rewolucji 1905 r. Str. No. 41
90-214 Łódź, Poland
Phone: (+48 42) 635 5248
Fax: (+48 42) 635 5025
E-mail: findecon@uni.lodz.pl
http://findecon.uni.lodz.pl

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