Opis
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. Spis treściPreface 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