Similar Search Results

Narrow search

Range-based DCC models for covariance and value-at-risk forecasting

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76

Persistent link: https://www.econbiz.de/10012174846

Modele klasy GARCH w empirycznych badaniach finansowych

Fiszeder, Piotr - 2009

Persistent link: https://www.econbiz.de/10003862660

Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321

Persistent link: https://www.econbiz.de/10014423712

Range-Based DCC Models for Covariance and Value-at-Risk Forecasting

Fiszeder, Piotr - 2019

The dynamic conditional correlation (DCC) model by Engle (2002) is one of the most popular multivariate volatility models. This model is based solely on closing prices. It has been documented in the literature that the high and low prices of a given day can be used to obtain an efficient...

Persistent link: https://www.econbiz.de/10012863347

Improving forecasts with the co-range dynamic conditional correlation model

Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012313608

Forecasting : theory and practice

Petropoulos, Fotios; Apiletti, Daniele; Assimakopoulos, V. - In: International journal of forecasting 38 (2022) 3, pp. 705-871

Persistent link: https://www.econbiz.de/10013349395