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  1. 2 Przegląd Statystyczny

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  1. 1 2008

  2. 1 2005

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  1. 2 Krauze K.

  2. 1 Krauze A.

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1

TEST PROCEDURES FOR COINTEGRATION TN MODELS WITH REGIME AND OTHER STRUCTURAL SHIFTS IN THE CONDITIONAL PROCESS. A GENERALIZATION

100%
Krauze K.
Przegląd Statystyczny
|
2005
|
vol. 52
|
issue 2
73-83
EN
The paper generalizes some cointegration tests in the case of known and unknown timing regime and other possible structural (such as level and/or time) shifts in the conditional equation. These tests are based on the Engle-Granger's procedure (CDF) and on the estimated error correction model (ECW). Taking into account requirements of the 'general to specific modelling', we allow for appearance of any fixed number of marginal equations. Consequently our response surface equation includes, apart from typical regressors, also the number of marginal equations. Therefore we are able to calculate the critical values of the considered tests in the case of any finite number of these equations
2

STRONG EFFECTIVENESS ANALYSIS OF SELECTED PIONEER'S OPEN INVESTMENT FUNDS CHARACTERISING BY DIFFERENT LEVEL OF RISK

63%
Krauze K., Krauze A.
Przegląd Statystyczny
|
2008
|
vol. 55
|
issue 4
90-102
EN
In the paper an evaluation's attempt of strong effectiveness of three Pioneer's Open Investment Funds, characterizing by differentiated level of risk, i.e.: Stable Growth Fund, Balanced Growth Fund, Polish Shares Fund, is undertaken. In particular, the first differences of these funds' unit values and WIG20 index, as well as the average profitability of 52 weeks Treasury bill monthly series, relating to the period from January 2001 to May 2007, are used in the empirical studies. Various types of structural breaks, including outliers, observed in the considered time series, are taken into account in the analysis. The Sharpe, Jensen and Treynor-Mazuy models, the Sharpe, Jensen and Treynor ratios, and also some modifications of these tools were applied.
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