<abstract xmlns="http://www.w3.org/1999/xhtml">In the study, the two-step EWS-GARCH models to forecast Value-at-Risk is presented. The EWS-GARCH allows different distributions of returns or Value-at-Risk forecasting models to be used in Value-at-Risk forecasting depending on a forecasted state of the financial time series. In the study EWS-GARCH with GARCH(1,1) and GARCH(1,1), with the amendment to the empirical distribution of random errors as a Value-at-Risk model in a state of tranquillity and empirical tail, exponential or Pareto distributions used to forecast Value-at-Risk in a state of turbulence were considered. The evaluation of Value-at-Risk forecasts was based on the Value-at-Risk forecasts and the analysis of loss functions. Obtained results indicate that EWS-GARCH models may improve the quality of Value-at-Risk forecasts generated using the benchmark models. However, the choice of best assumptions for the EWS-GARCH model should depend on the goals of the Value-at-Risk forecasting model. The final selection may depend on an expected level of adequacy, conservatism and costs of the model.</abstract>

EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

<abstract xmlns="http://www.w3.org/1999/xhtml">The study provides some quantitative information on voluntary pension plans in 10 CEE countries obtained from various local sources. The comparative analysis shows that there is a considerable variation in this group in terms of participation and contributions to the voluntary pension plans. In addition, this study empirically examines several factors that can possibly affect the development of voluntary pensions: income per capita and poverty rate, income inequality, replacement rate from the pension system, education attainment, interest rate and demographic burden. It uses a panel regression framework for the period of 2006–2014. The results reveal that, in the case of participation in voluntary pension plans, only income level per capita is associated with a greater number of pension plan members. As far as contributions are concerned, education seems to be the most important determinant of additional pension savings. Other factors do not seem to explain well both of the studied variables reflecting the development of voluntary pension schemes. However, as individual fixed effects are proven to be significant in the estimated models, one could conclude that country-specific characteristics play a significant role in explaining the development of voluntary pension schemes. They can be referred to the design and parametric settings of the non-mandatory pension system.</abstract>

Factors Affecting the Development of Voluntary Pension Schemes in CEE Countries: A Panel Data Analysis

<abstract xmlns="http://www.w3.org/1999/xhtml">In the paper, we examine the impact of ownership structure on dividend policy and shareholder value in non-financial companies from construction sector in Poland. More specifically, by distinguishing between financial and non-financial shareholders, we verify the involvement of financial institutions in company ownership and how it translates into changes in major dividend and shareholder value indicators. Our results show that the presence of financial investors in the ownership structure has a positive impact on probability that the company will pay out dividends, what is symptomatic for financialisation. However, there is not enough evidence to support similar conclusion regarding shareholder value creation.</abstract>

The Effect of Ownership Structure on Dividend Policy and Shareholder Value: A Financialisation Perspective on Construction Companies in Poland

<abstract xmlns="http://www.w3.org/1999/xhtml">An important aspect of economic integration of the European Union is price convergence on digital single market. In this study, we propose a novel way to measure price dispersion in the e-commerce industry, using a custom made web-scraping tool. We target all the major price comparisons sites in the 26 EU member states, which enables us to collect price signals from thousands of retail shops operating on-line. We analyse pricing data of 182 branded products sold on-line across the EU, representing the most popular categories: fashion, consumer electronics, gaming and software, and cosmetics. We find considerable dispersion of both pre and post-vat on-line prices ranging from 20% to 40%, depending on the product category. The observed on-line price dispersion is driven by both cost factors and the level of per capita income, which is consistent with the view that producers or large distributors might engage in strategic price discrimination induced by income heterogeneity.At first look, our results point to the unexplored potential for cross-border trade, which could be released by policy interventions with regards to delivery, payment or law harmonization. However, under strategic price discrimination, reduced costs of arbitrage for consumers might induce discriminating firms to lower the magnitude of price dispersion between high and low income countries, bringing adverse welfare changes of a priori unknown net effect.</abstract>

What Drives Price Dispersion in the European E-commerce Industry?

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Volume 11 (2024): Issue 58 (January 2024)

Volume 10 (2023): Issue 57 (January 2023)

Volume 9 (2022): Issue 56 (January 2022)

Volume 8 (2021): Issue 55 (January 2021)

Volume 7 (2020): Issue 54 (January 2020)

Volume 6 (2019): Issue 53 (January 2019)

Volume 5 (2018): Issue 52 (January 2018)

Volume 4 (2017): Issue 51 (December 2017)

Volume 3 (2017): Issue 50 (December 2017)

Volume 2 (2017): Issue 49 (December 2017)

Volume 1 (2017): Issue 48 (November 2017)

Central European Economic Journal

 Central European Economic Journal publishes original theoretical and empirical research papers in the field of economics as well as at the intersection of economics and sociology, demography, political science, law and management.  The journal accepts papers which fall under (but are not restricted to) the following research areas:   macro- and microeconomics,  labour market research,  international trade,  population studies,  public sector economics,  public policies,  health, gender, ecological economics,  finance, accounting,  managerial economics.   CEEJ addresses the broad international community, but especially welcomes papers which focus on socio-economic problems relevant for Central and Eastern Europe, including the European transition countries.  Central European Economic Journal is a peer-reviewed, open access journal. All articles undergo a double-blind peer review process. CEEJ does not charge for the publishing process nor for the approval of the text for publication. All papers are available in electronic version (eISSN 2543-6821), both at the CEEJ website and at Sciendo (DeGruyter) Open platform.  Archiving  Sciendo archives the contents of this journal in Portico - digital long-term preservation service of scholarly books, journals and collections.  Plagiarism Policy  The editorial board is participating in a growing community of Similarity Check System's users in order to ensure that the content published is original and trustworthy. Similarity Check is a medium that allows for comprehensive manuscripts screening, aimed to eliminate plagiarism and provide a high standard and quality peer-review process.  Why submit:   transparent, comprehensive and fast peer review (double-blind review),  convenient, web-based and widely known manuscript submission and tracking system,  efficient route to fast-track publication and full advantage of Sciendo‘s publishing platform, language verification,  submission of papers, publishing process and approval of the text for publication is free of charge. 