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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

Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland : a comparative analysis

Fiszeder, Piotr; Pietryka, Ilona - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 445-470

Persistent link: https://www.econbiz.de/10011949806

A new look at variance estimation based on low, high and closing prices taking into account the drift

Fiszeder, Piotr; Perczak, Grzegorz - In: Statistica Neerlandica 67 (2013) 4, pp. 456-481

Persistent link: https://www.econbiz.de/10010722486

Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices

Fiszeder, Piotr - In: Dynamic Econometric Models 11 (2011), pp. 87-98

An evaluation of the efficiency of different methods of the minimum variance portfolio selection was performed for seventy stocks from the Warsaw Stock Exchange. Eight specifications of multivariate GARCH models and six other methods were used. The application of all considered GARCH-class...

Persistent link: https://www.econbiz.de/10010754075

Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index

Fiszeder, Piotr; Rowiñski, Sebastian - In: Ekonomia i Prawo 3 (2012), pp. 153-167

The relations between a stock market and macroeconomic processes are objects of interest of this paper. The existence of the long-run dependence between the Warsaw Stock Exchange Index and selected macroeconomic processes was demonstrated. A positive influence on the WIG index in the...

Persistent link: https://www.econbiz.de/10010639351

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

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/10010118059

Wykorzystanie gotówki i karty płatniczej w punktach handlowo-usługowych w Polsce : zastosowanie dwuwymiarowego modelu Poissona

Marzec, Jerzy; Polasik, Michał; Fiszeder, Piotr - In: Bank i kredyt 44 (2013) 4, pp. 375-402

Persistent link: https://www.econbiz.de/10010185641

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