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Modele klasy GARCH w empirycznych badaniach finansowych

Fiszeder, Piotr - 2009

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

Zastosowanie modeli GARCH w analizie krótkookresowych zależności pomie̜dzy Warszawska Giełda Papierów Wartościowych a mie̜dzynarodowymi rynkami akcji

Fiszeder, Piotr - In: Przegla̜d statystyczny / Polska Akademia Nauk, Komitet … 48 (2001) 3/4, pp. 345-364

Persistent link: https://www.econbiz.de/10001654540

Looking for the pattern of GARCH type models in Polish stock exchange returns : comparison with indices of the EU and the East European stock markets

Fiszeder, Piotr; Románski, Jerzy - In: East European transition and EU enlargement : a …, (pp. 355-369). 2002

Persistent link: https://www.econbiz.de/10001686532

Nonparametric verification of GARCH-class models for selected Polish exchange rates and stock indices

Fiszeder, Piotr; Orzesko, Witold - In: Finance a úvěr 62 (2012) 5, pp. 430-449

Persistent link: https://www.econbiz.de/10009740488

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

Low and high prices can improve volatility forecasts during periods of turmoil

Fiszeder, Piotr; Perczak, Grzegorz - In: International journal of forecasting 32 (2016) 2, pp. 398-410

Persistent link: https://www.econbiz.de/10011597123

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

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

Attention to oil prices and its impact on the oil, gold and stock markets and their covariance

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Energy economics 120 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014285888

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