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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

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