Bulletin of the Czech Econometric Society

Contents 

 

1/1994

J. Šujan a kol.: Experimental Economic Model of the Slovak Republic

J. Dupacová: Ekonometrie na MFF UK

J. Walter: Ekonometrické perspektivy

J. Houška: MATLAB - program pro vedeckotechnické výpocty

J. Michalicka, J. Michálek: DATAGAIN - Nástroj pro analýzu dat a obchodování

2/1995

J. Arlt:The Problem of Co-integration

J. Hanousek, Z. Tuma: Odhad spotoební funkce v ceské ekonomice

R. Hušek: Aktuální problémy aplikované ekonometrie

J. Klacek, K. Šmídková: The Demand-For-Money Function

M. Vošvrda: Diferenciální rovnice a ekonomické aplikace

3/1995

A. Derviz Bayesian Capital Markets and Currency Crises

R. Hušek: Aplikace rustových modelu v dynamické analýze poptávky

M. Jancar: Aplikace fyzikálních prístupu v teoretické ekonomii - definice prostoru ekonomických aktivit

O. Vašícek Bayesian Identification of Macroeconomic Model

M. Vošvrda: Markovian Model of Unemployment

4/1996

A. Derviz: Adjoint Equations in Stochastic Optimal Control and Application to Portfolio Optimization with Borrowing

I.V. Chernenko: Mathematical Laws of Economic Transition and Social Catastrophes

L.Z. Augilar, A.M. Rubio, J.Á. Víšek: Combining Forecasts Using Constrained M-Estimators

M. Vošvrda: Disequilibrium Model Applied to the Czech Economy

5/1996

A. Derviz: A Shadow Asset Pricing Approach to the Analysis of Financial Markets' Equilibria in an Open Economy

J. Hanousek, Z. Tuma: The Consumption Function in the Czech(oslovak) Economy, 1955 - 1995

R. Hušek: Ekonometricke simulacni predpovedi

V. Kankova A Note on Interval Estimates in Stochastic Optimization

J. Kodera A Dynamic Model of Inflation

K. Sladky, M. Vošvrda: The Speed of Adjustment and Robust Stability of Macroeconomic Systems

J.Á. Víšek: On the Coefficient of Determination: Simple But ...

6/1997

L. Soucek, M. Tomek: Forwardové kontrakty na smenné kursy

P. Dobiáš: Aplikace robustní optimalizace

P. Duczynski:Convergence in neoclassical models with capital mobility and two kinds of capital

M.Tomek: Ocenování financních derivátu

M.Kapicka: Ekonomická očekávání a stabilizacní politika

T. Víšek: Meze pro optimální hodnotu úlohy stochastického programování

A. Slabý: Algoritmus pro výpocet vah ve výberovém šetrení a jeho praktická motivace

T. Formánek:Ekonometrická analýza inflace v CR

7/1998

J. Špitálský:A Bivariate Integral Control Mechanism Model of Household Consumption

J. Bruha: N4SID Algorithm as System Identification Tool

V. Havlena: Review of State Estimation Methods with Multiple Process Models

R. Hušek: Ekonometrické metody výběru a anticipace dopadu hospodářské politiky

M.Vošvrda, J. Filácek, M. Kapicka: The Efficient Market Hypothesis Testing on the Prague Stock Exchange

J.Štecha, K.Satoriová,O. Vašícek:Application of Alternative Models for Identification of us Macroeconomic Model

O. Vašícek, J. Beneš: The Czech Economy Model: Bayesian Quantitative Analysis of Parameters and Control of Strategies

F. Vávra: Trendy devizových kurzů CNB v roce 1996

J.Á. Víšek: What is Characterized by Gross Error Sensitivity

8/1998

O. Vašícek: Macroeconomic Model of Small Open Economy: Adaptive Parameter Estimation, Behavior Analysis and Optimal Control

J. Špitálský: Czech Household Consumption Analysis

M. Jancar:The Enlargement of Portfolio Game to Aspect of Production

J.Á. Víšek: Robust Constrained Combinations of Forecasts

J. Bruha: Frequency Domain Contribution to Optimal Control Problem

J. Podpiera: Efficiency of Czech National Bank's Monetary Policy and Reasons for Inflation Targeting

A. Derviz, J. Klacek: Precautionary Saving and Currency Substitution in an Optimizing Model of the Czech Economy

J. Hanclová, L. Tvrdý: Cross-Sectional Analysis of Regional Labour Markets in the Czech Republic

9/1999

K. Sladký, J. Kodera, M. Vošvrda: Sensitivity and Stability in Dynamic Economic Systems

M. Jančar: Formalization of Banking Intermediation in Portfolio Game

A. Dreviz: Currency Options and Trade Smoothing under an Exchange Rate Regime Shift

J. A. Víšek: Robust Estimation of Regression Model

D. Marček: Stock Price Predictions Based on Bayesian Method

J. Brůha: Yield Curve and Prediction of Change in an Inflation Rate

M. Filip: Analyst's Recommendatioons - are they Worth Anything?

10/1999

J. A. Víšek: Least Trimmed Squares - Random Carriers

M. Vošvrda: Van der Pol's Equation and an Economic Model of Cycles

O. Vašícek: Dynamic Inflation Model

J. Kodera, V. Pánková: Money Demand Analysis - Model in the Czech Republic

J. Slačálek: Financial Time Series and Their Volatility: A Survey

A. Derviz: Generalized Asset Return Parity and the Exchange Rate in a Financial Open Economy

M. Jančar: Formalization of Trade Balance Flows in Portfolio Game

V. Kaňková, Z. Prášková, K. Zimmermann: Life Jubilee of Jitka Dupačová

11/2000

J. Abaffy, M. Bertocchi, J. Dupačová, V. Moriggia: On Generating Scenarios for Bond Portfolios

Z. Prášková: Using Bootstrap in some Volatility Models

T. Víšek: Testing Stability of Capital Assets Pricing Model

A. Derviz: The Asset-Liability Management Aspects of Monetary Transmission in Transitional Economies: the Czech and the Austrian Credit Channels

J. Řežábková: Effective Duration for Callable Bonds

M. Jančar: Formalization of Investment in Portfolio Game

12/2000

Osvald Vašíček, Martin Fukač: Potential Product Quantitative Analysis for the Czech Republic

Martin Fukač: Non-Accelerating Inflation Rate of Unemployment Quantitative Analysis for the Czech Republic

Jan Vlček: Model of German Hyprinflation with Rational Expectations

Alexis Derviz: Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market and Equilibrium Exchange Rate

Jan Ámos Víšek: Over- and Underfitting the M-Estimates

Martin Jančar: Expenditure Decision and Energy in Portfolio Game

 

13/2001

 

C. Chiarella, P. Flaschel, R. Franke, W. Semmler:   Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique

M. Šimandl, T. Soukup: Nonlinear Smoother for Stochastic Volatility Model

A. Derviz: Equilibrium Asset Prices in a Continuous Time Portfolio Optimization Model with Decentralized Dealership Markets

F. Turnovec: Family Capitalism vs. Capitalism of Agents A Leontief-type Model of Ownership Structures

M. Mareš: Fuzzy TU Games and Their Classes

 

14/2001

 

J.Á. Víšek: Durbin-Watson Statistic for the Least Trimmed Squares

J. Havelka, J. Kodera, S. Tryml: Professor Jaromír Walter died

M. Vošvrda: Bifurcation Routes and Economic Stability

P. Duczynski: Adjustment Costs in a Neoclassical Model with Capital Mobility

J. Kodera, V. Pánková: Capital Yields Assessment Trough Cross Section Production Function

 

15/2002

 

D.S.G. Pollock: Trend Estimation and De-trending Using Bidirectional Filtering

J.Á. Víšek: The Least Weighted Squares I. The Asymptotic Linearity of

                  Normal Equations 

A. Derviz, N. Kadlčáková:   Producer Subsidies and Adverse Selection in the

                   Corporate  Credit Market

 

16/2002

 

J.Á. Víšek: The Least Weighted Squares II. The Asymptotic Linearity of  Normal Equations 

M. Horniaček: Efficient Bilateral Negotiation

D. Moravanský:  Theoretical Constency Property Applied to the Micro-economic Modelling with Flexible Functional Forms

 

17/2002

 

O. Vašíček, J. Vlček:     The Iterative Kalman Filter Smoother and its Applications

M. Vošvrda, L. Vácha:   Heterogeneous Agent Model and Numerical Analysis of Learning

H. Janečková:    On the Relation Between Heteroscedastic RCA and Non-stationary ARCH Processes

V. Kaňková:    A Remark on Empirical Estimates in Multistage Stochastic Programming

S. Vyvialová:     Stability and Estimates Stochastic Multiobjective Programming Problems

M. Houda:     Probability Metrics and the Stability of  Stochastic Programs with Recourse

 

18/2003

 

D.P. Morton, E. Popova, I. Popova, M. Zhong:   Optimizing Benchmark-based Utility Functions

J. Artenjak, P. Tominc:   Cost-volume-profit Analysis by Using the Enterprise Input-output Modeling

 J. Honnerová:   Time Series Analysis of GDP and Market Indices

P. Dobiáš:   Contamination for Stochastic Integer Programs 

M. Mareš, M. Vlach:   Fuzzification Methods of Coalitional Games with Transferable Utility

J. Fanta:    Alternative Methods of Financial Analyses

 

19/2003

 

Asada T., Flaschel P., Gong G., Semmler W.: Monetary Policy, Currency Unions and Open Economy Macrodynamics

Duczynski P.: On Extended Versions of the Solow-Swan Mode

Vaneček P.: Modeling of Returns and Option Pricing Using Models with Flexible Volatility

Kopa M.: Utility Functions and Portfolio Selection Problem

Henclová A.: Characterization of Arbitrage-free Market

Derviz A.: Dealer Quotes, Order Flow and Indirect Foreign Currency Utility in a Multiple Dealership Market

Volf P.: Cox’s Regression Model for Dynamics of Grouped Unemployment Data

 

20/2004

 

Fuchsová D., Žikeš F.: Evaluating Statistical and Economic Significance of Polish Stock Return Predictability

Pytelová H., Vašíček O.:  Estimation of Alternative Monetary Policy Rules and their Comparison

Duczynski P.:   Preference Variations in the AK Model

Horniaček M.:  Negotiated Contracts Can Be Inefficient

David S., Vašíček O.:   Analysis of the Open Macroeconomy Model with Rational Expectations

 

21/2004

 

Víšek J.Á.:  Selection of Robust Method: Numerical Examples and Results

Chovanec P.:  Unemployment Policy Model via Multistage Stochastic Programming

Kopa M.:   Risk Premium for Multiperiod Risks

 

22/2005

 

Chen, P., Flaschel, P.:  Wage and Price Philips Curves: Some results for the U.S. Economy

Lešek, M., Šimandl, M.:  Pension Fund State Estimation and Optimal Investment Strategy

Duczynski, P.:  Models of Growth with Capital Contributing to Utility

 

23/2006

 

Duczynski P. :  Asymmetric Adjustment Costs and the Imbalance Effect between Human and Physical Capital

Marček M., Marček D.:  Application of Dynamic Models and an SV Machine to Inflation Modelling

Melecký J.:   A Simple Stock Market Model Involving Delay

Kotliarov I.:   A Vector Model of Work Motivation

Moravanský D., Němec D.:  Wage Bargaining Model as Microfoundation of Hysteresis Hypothesis

 

24/2007

 

Kodera J., Sladký K., Vošvrda M.:  Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents

Duczynski P.:   On Steady-State Solutions of Selected Endogenous Growth Models

Červinka M.:   A Note on Existence of Mixed Solutions to Equilibrium Problems with Equilibrium Constraints

Šmíd M.:  On Uselessness of Limit Orders

25/2008

 
The Implicit Weighting of GMM Estimators Abstract PDF
Jan Ámos Víšek
Price Tails in the Smith and Farmer's Model Abstract PDF
Martin Šmíd
Wavelets and Sentiment in the Heterogeneous Agents Model Abstract PDF
Lukas Vacha, Miloslav Vosvrda
DSGE model with nominal rigidities: estimation and assessing of fit* Abstract PDF
Miroslav Hloušek
Firms formation and growth in the model with heterogeneous agents and monitoring Abstract PDF
Petr Švarc, Peter Marko
Myopia and the economics of nonrenewable resources Abstract PDF
Petr Duczynski

 26/2009
An Estimated Model of the Small Open Czech Economy with a Non-tradable Sector Abstract PDF
Karel Musil
Estimate of the Czech National Bank’s Preferences in NOEM DSGE model Abstract PDF
Adam Remo, Osvald Vašíček
A Baseline Model for Monetary Policy Analysis Abstract PDF
Jaromír Tonner, Jiří Polanský, Osvald Vašíček

27/2010

Technological Diffusion in the Uzawa-Lucas Model Abstract PDF
Petr Duczynski
Strict Coalition-Proofness in an Oligopoly Difference Game Abstract PDF
Milan Horniaček
Heteroscedasticity Resistant Robust Covariance Matrix Estimator Abstract PDF
Jan Ámos Víšek
Long-range dependence in returns and volatility of Central European Stock Indices Abstract PDF
Ladislav Kristoufek

28/2011
A Two Factor Model for PD and LGD Correlation Abstract PDF
Jiri Witzany
The Solow-Swan model generalization with non-constant labor growth rate Abstract PDF
Lenka Přibylová
Definition of Default and Quality of Scoring Functions Abstract PDF
Jiri Witzany
Comparing Neural Networks and ARMA Models in Artificial Stock Market Abstract PDF
Jiri Krtek, Miloslav Vošvrda
Neural Networks as Semiparametric Option Pricing Tool Abstract PDF
Michaela Barunikova, Jozef Barunik
Estimating Stochastic Cusp Model Using Transition Density Abstract PDF
Jan Voříšek

29/2012
A Comparison of EVT and Standard VaR Estimations Abstract PDF
Jaroslav Baran, Jiří Witzany
Investigating structural differences of the Czech economy: Does asymmetry of shocks matter? Abstract PDF
Pavel Herber, Daniel Němec
Empirical Estimates in Economic and Financial Optimization Problems Abstract PDF
Michal Houda, Vlasta Kaňková
The Extreme Value Theory and Copulas as a Tool to Measure Market Risk Abstract PDF
Krenar Avdulaj

Editorial to the Special Issue on Approximation of Stochastic Programming Problems Abstract PDF
Martin Šmíd, Miloslav Vošvrda
Empirical Estimates in Optimization Problems: Survey with Special Regard to Heavy Tails and Dependent Sample Abstract PDF
Vlasta Kaňková
Notes on asymptotic properties of approximated stochastic programs Abstract PDF
Jitka Dupačová
Behaviour and convergence of Wasserstein metric in the framework of stable distributions Abstract PDF
Vadym Omelchenko
Some Remarks on Stochastic Versions of the Ramsey Growth Model Abstract PDF
Karel Sladký
Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems Abstract PDF
Martin Smid
On precision of optimization in the case of incomplete information Abstract PDF
Petr Volf

30/2013
The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic Abstract PDF
Sylvie Dvořáková, Jakub Seidler
The least weighted squares with constraints and under heteroscedasticity Abstract PDF
Jan Ámos Víšek
Ways and means with scenarios Abstract PDF
Jitka Dupačová

31/2014
Asymptotic Representation Of The Instrumental Weighted Variables - Theory And Practice: Part I - deriving the formula for the asymptotic representation. Abstract PDF
Jan Ámos Víšek
Asymptotic Representation Of The Instrumental Weighted Variables - Theory And Practice: Part II - numerical study Abstract PDF
Jan Ámos Víšek
Technological Variations in the AK Model Abstract PDF
Petr Duczynski
Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison Abstract PDF
Samuel Prívara, Marek Kolman, Jiri Witzany