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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

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

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

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

Fiszeder, Piotr; Malecka, Marta - 2022

We analyze the effects of the outbreak of the Russian-Ukrainian war on the volatility in commodity and financial markets. The Russian invasion sharply raised the volatility of most assets, however, the scale of reactions was market-specific and some markets exhibited a strong tendency to return...

Persistent link: https://www.econbiz.de/10013406520