Modeling of complex data sets and risk analysis

• Druk: Katowice, 2021
• Redakcja naukowa: Grażyna Trzpiot
• Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach

This monograph is the result of research conducted by employees and doctoral students at the Department of Demography and Economics Statistics. The subject of research, according to the title, focuses on modeling of complex data sets and risk analysis. The authors use innovative research approaches and appropriate, that allows to conduct analyzes and formulate assessments and conclusions resulting from the research.

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• Redakcja: Grażyna Trzpiot
• Język wydania: angielski
• ISBN: 978-83-7875-702-3
• ISBN druku: 978-83-7875-701-6
• Liczba stron: 148

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