Tytuł Modeling of complex data sets and risk analysis Język angielski Wydawnictwo Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach ISBN 978-83-7875-702-3 Rok wydania 2021 Katowice Wydanie 1 liczba stron 148 Format pdf Spis treści Preface 7
Part I
Modeling of complex data sets
Chapter 1
Modeling socio-economic factors of life expectancy in Poland using panel data (Agnieszka Orwat-Acedańska) 11
Chapter 2
A coherent mortality and life expectancy forecasting – a comparison of frequentist and Bayesian approaches (Justyna Majewska) 30
Chapter 3
Evaluation of the labor market status of young people in selected countries of the European Union – the multiple regression approach (Grażyna Trzpiot, Magdalena Kawecka) 46
Part II
Risk analysis
Chapter 4
Quantile and expectile regression in risk measurement – downside risk measures approach (Grażyna Trzpiot) 77
Chapter 5
EVT in risk estimation on commodities exchanges (Alicja Ganczarek-Gamrot, Dominik Krężołek, Grażyna Trzpiot) 95
Chapter 6
Backtesting Expected Shortfall using extreme value theory on the metals market (Dominik Krężołek) 109
Chapter 7
Quantile-based CAPM model – the application on Polish capital market during COVID-19 pandemic (Tomasz Stachurski, Dominik Krężołek) 133
Part I
Modeling of complex data sets
Chapter 1
Modeling socio-economic factors of life expectancy in Poland using panel data (Agnieszka Orwat-Acedańska) 11
Chapter 2
A coherent mortality and life expectancy forecasting – a comparison of frequentist and Bayesian approaches (Justyna Majewska) 30
Chapter 3
Evaluation of the labor market status of young people in selected countries of the European Union – the multiple regression approach (Grażyna Trzpiot, Magdalena Kawecka) 46
Part II
Risk analysis
Chapter 4
Quantile and expectile regression in risk measurement – downside risk measures approach (Grażyna Trzpiot) 77
Chapter 5
EVT in risk estimation on commodities exchanges (Alicja Ganczarek-Gamrot, Dominik Krężołek, Grażyna Trzpiot) 95
Chapter 6
Backtesting Expected Shortfall using extreme value theory on the metals market (Dominik Krężołek) 109
Chapter 7
Quantile-based CAPM model – the application on Polish capital market during COVID-19 pandemic (Tomasz Stachurski, Dominik Krężołek) 133
