Przegląd Statystyczny最新文献

Estimation of Yu and Meyer bivariate stochastic volatility model by iterated filtering Yu和Meyer二元随机波动模型的迭代滤波估计

Przegląd Statystyczny Pub Date : 2023-05-31 DOI: 10.59139/ps.2022.04.1

Piotr Szczepocki

引用次数: 0

Comparison of the accuracy of forecasts bsed on neural networks before and after the outbreak of the COVID-19 pandemic on the example of selected exchange rates 以选定汇率为例，对比新冠肺炎疫情前后基于神经网络的预测准确率

Przegląd Statystyczny Pub Date : 2023-05-31 DOI: 10.59139/ps.2022.04.4

Jakub Morkowski

引用次数: 0

Impact of a priori positive information on the results of voting methods 先验的正面信息对投票结果的影响

Przegląd Statystyczny Pub Date : 2023-05-31 DOI: 10.59139/ps.2022.04.3

H. Sosnowska, M. Ramsza, Paweł Zawiślak

引用次数: 0

Sample size in clinical trials – challenges and approaches 临床试验的样本量——挑战和方法

Przegląd Statystyczny Pub Date : 2023-05-31 DOI: 10.59139/ps.2022.04.2

A. Tomski, Barbara Gorzawska

引用次数: 0

Alternative investments during turbulent times comparison of dynamic relationship 另类投资在动荡时期的动态关系比较

Przegląd Statystyczny Pub Date : 2023-02-01 DOI: 10.5604/01.3001.0016.2377

Karolina Siemaszkiewicz

{"title":"Alternative investments during turbulent times comparison of dynamic relationship","authors":"Karolina Siemaszkiewicz","doi":"10.5604/01.3001.0016.2377","DOIUrl":"https://doi.org/10.5604/01.3001.0016.2377","url":null,"abstract":"The coronavirus pandemic, like the Russian aggression on Ukraine, had a significant impact on many financial markets and asset prices. The latter additionally led to large fluctuations on financial markets. In this paper, we try to compare the performance of safe haven assets during turbulent times, such as the recent global financial crises, eurozone debt crises, the COVID-19 pandemic and the Russian aggression on Ukraine. We investigate the dynamic relationship between indices from the European countries like the Czech Republic, France, Germany, Great Britain, Poland, Slovakia, Spain, and popular instruments such as gold, silver, Brent Crude Oil, Crude Oil WTI, US Dollar, Swiss Franc, and Bitcoin. The study estimated the parameters of either DCC or CCC models, to compare the dynamic relation between the above-mentioned stock markets and financial instruments. The results showed that in most cases, the US Dollar and Swiss Franc were able to protect investors from stock market losses during turbulent times. In those periods, gold was the closest to being a safe haven instrument for investors from France, Poland, the Czech Republic and Slovakia. Our findings are in line with other literature which points out that safe haven instruments can change over time and across countries. In that literature, we can find research performed for the USA, China, Canada, and Great Britain, but there is no such research for Poland, Italy, the Czech Republic or Slovakia. The purpose of this paper is therefore to try to fill this research gap.","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128379316","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Consumption-led expansions lead to lower future output growth 以消费为导向的扩张将导致未来产出增长放缓

Przegląd Statystyczny Pub Date : 2023-01-31 DOI: 10.5604/01.3001.0016.2352

M. Virén

引用次数: 0

From business to clinical trials: a systematic review of the literature on fraud detection methods to be used in central statistical monitoring 从商业到临床试验:对用于中央统计监测的欺诈检测方法的文献进行系统回顾

Przegląd Statystyczny Pub Date : 2022-12-01 DOI: 10.5604/01.3001.0016.1165

Maciej Fronc, M. Jakubczyk

{"title":"From business to clinical trials: a systematic review of the literature on fraud detection methods to be used in central statistical monitoring","authors":"Maciej Fronc, M. Jakubczyk","doi":"10.5604/01.3001.0016.1165","DOIUrl":"https://doi.org/10.5604/01.3001.0016.1165","url":null,"abstract":"Data-driven decisions can be suboptimal when the data are distorted by fraudulent behaviour. Fraud is a common occurrence in finance or other related industries, where large datasets are handled and motivation for financial gain may be high. In order to detect and prevent fraud, quantitative methods are used. Fraud, however, is also committed in other circumstances, e.g. during clinical trials. The article aims to verify which analytical fraud-detection methods used in finance may be adopted in the field of clinical trials. We systematically reviewed papers published over the last five years in two databases (Scopus and Web of Science) from the field of economics, finance, management and business in general. We considered the broad scope of data mining techniques including artificial intelligence algorithms. As a result, 37 quantitative methods were identified with the potential of being fit for application in clinical trials. The methods were grouped into three categories: pre-processing techniques, supervised learning and unsupervised learning. Our findings may enhance the future use of fraud-detection methods in clinical trials.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124512433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

On planning production and distribution with disrupted supply chains 在供应链中断的情况下规划生产和分销

Przegląd Statystyczny Pub Date : 2022-10-31 DOI: 10.5604/01.3001.0016.0364

Przemysław Szufel

{"title":"On planning production and distribution with disrupted supply chains","authors":"Przemysław Szufel","doi":"10.5604/01.3001.0016.0364","DOIUrl":"https://doi.org/10.5604/01.3001.0016.0364","url":null,"abstract":"This paper presents a model for short-term time-horizon production and distribution planning of a manufacturing company located in the middle of a supply chain. The model focuses on an unbalanced market with broken supply chains. This reflects the state of the current post-COVID-19 economy, which is additionally struggling with even more uncertainty and disruptions due to the Russian aggression against Ukraine. The manufacturer, operating on the post-pandemic and post-war market, on the one hand observes a soaring demand for its products, and on the other faces uncertainty regarding the availability of components (parts) used in the manufacturing process. The goal of the company is to maximise profits despite the uncertain availability of intermediate products. In the short term, the company cannot simply raise prices, as it is bound by long-term contracts with its business partners. The company also has to maintain a good relationship with its customers, i.e. businesses further in the supply chain, by proportionally dividing its insufficient production and trying to match production planning with the observed demand. The post-COVID-19 production-planning problem has been addressed with a robust mixed integer optimisation model along with a dedicated heuristic, which makes it possible to find approximate solutions in a large-scale real-world setting.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114824709","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Do mixed-data sampling models help forecast liquidity and volatility? 混合数据抽样模型是否有助于预测流动性和波动性?

Przegląd Statystyczny Pub Date : 2022-10-31 DOI: 10.5604/01.3001.0016.0363

Barbara Będowska-Sójka, Agata Kliber

引用次数: 0

REITs impact on typical investment portfolio – further evidence of the sector split importance REITs对典型投资组合的影响——进一步证明了行业分割的重要性

Przegląd Statystyczny Pub Date : 2022-06-30 DOI: 10.5604/01.3001.0015.8791

Jakub Pacholec

{"title":"REITs impact on typical investment portfolio – further evidence of the sector split importance","authors":"Jakub Pacholec","doi":"10.5604/01.3001.0015.8791","DOIUrl":"https://doi.org/10.5604/01.3001.0015.8791","url":null,"abstract":"The REIT (Real Estate Investment Trust) returns demonstrate a time-varying linear correlation with various equity indexes, therefore they are fit for multi-asset portfolio enhancement. On the one hand, each REIT sector is characterised by a unique set of return properties, and on the other, companies within those sectors remain homogenous. The aim of this research is twofold: firstly, to verify the earlier studies on how adding REITs to mixed equities/bonds portfolios affects their risk and return characteristics, and secondly, to contribute to these studies by examining the impact of adding different REIT sectors to such portfolios over a relatively long and more up-to-date sample, i.e. the period of 1990–2019. The results indicate that, in contrast to what some previous studies suggested, adding the REIT index exposure leads to a limited portfolio enhancement only. More significant and consistent effects can be achieved by the inclusion of individual REIT sectors in an investment portfolio. Apartment REITs offered diversification benefits across the entire spectrum in all the periods, while Industrials were useful across the curve in 1990s and 2010s. Self-storage exposure, on the other hand, improved the investment portfolio performance in each of the studied decades. In general, it was enough for investors who strived for portfolio improvement over the three decades between 1990 and 2019 to have a small portion of their Value holdings replaced with the REIT sector exposure to obtain a positive impact on both the returns and the risk.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"7 20","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120854999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0