Michal Markun

National Bank of Poland

00-919 Warsaw

Poland

Cardinal Stefan Wyszynski University

01-815 Warsaw

Poland

SCHOLARLY PAPERS

4

DOWNLOADS

83

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Dependence and Contagion Between Asset Prices in Poland and Abroad. A Copula Approach

National Bank of Poland Working Paper No. 169
Number of pages: 38 Posted: 20 Dec 2013
Michał Adam, Piotr Banbula and Michal Markun
National Bank of Poland, National Bank of Poland and National Bank of Poland
Downloads 40 (572,739)
Citation 1

Abstract:

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Copulas, Dependence, Tail dependence coefficients, Contagion, Asset classes

2.

Changing Patterns in the Dependence of Long-Term Rates between Poland and Major Financial Centres

BIS Paper No. 78r
Number of pages: 12 Posted: 07 Oct 2014
Michał Adam, Witold Koziński and Michal Markun
National Bank of Poland, National Bank of Poland and National Bank of Poland
Downloads 23 (678,814)

Abstract:

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Copulas, dependence, contagion, long-term interest rates, Poland

3.

Adapting the Litterman Prior for Cointegrated VARs

EUI Working Papers, ECO 2011/14
Number of pages: 38 Posted: 18 Mar 2015
Michal Markun
National Bank of Poland
Downloads 11 (780,555)

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4.

Stationarity and Persistence of the Term Premia in the Polish Money Market

NBP Working Paper No. 227
Number of pages: 34 Posted: 11 Mar 2016
Michal Markun and Anna Marszal (Mospan)
National Bank of Poland and National Bank of Poland
Downloads 9 (799,987)

Abstract:

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short-term interest rate, expectations, term premium, persistence, surveys