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Multilayer perceptron for GEFCom2014 probabilistic electricity price forecasting

Dudek, Grzegorz - In: International journal of forecasting 32 (2016) 3, pp. 1057-1060

Persistent link: https://www.econbiz.de/10011621994

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

Forecasting volatility during the outbreak of Russian invasion of Ukraine : application to commodities, stock indices, currencies, and cryptocurrencies

Fiszeder, Piotr; Małecka, Marta - In: Equilibrium : quarterly journal of economics and … 17 (2022) 4, pp. 939-967

Persistent link: https://www.econbiz.de/10014252602

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

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

Improving volatility forecasts : evidence from range-based models

Fałdziński, Marcin; Fiszeder, Piotr; Molnár, Peter - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10014445632