Details about Mateusz Buczyński
Access statistics for papers by Mateusz Buczyński.
Last updated 2025-04-07. Update your information in the RePEc Author Service.
Short-id: pbu522
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Working Papers
2021
- GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
Working Papers, Faculty of Economic Sciences, University of Warsaw 
2020
- Size does matter. A study on the required window size for optimal quality market risk models
Working Papers, Faculty of Economic Sciences, University of Warsaw
- Valuing externalities of outdoor advertising in an urban setting – the case of Warsaw
Working Papers, Faculty of Economic Sciences, University of Warsaw
See also Journal Article Valuing externalities of outdoor advertising in an urban setting – the case of Warsaw, Journal of Urban Economics, Elsevier (2022) View citations (1) (2022)
2019
- Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states
Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (3)
See also Journal Article Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states, Journal of Risk Model Validation, Journal of Risk Model Validation
2017
- Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and the historical simulation models depending on the stability of financial markets
Working Papers, Faculty of Economic Sciences, University of Warsaw
Journal Articles
2024
- GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks
Computational Economics, 2024, 63, (5), 1949-1979
2022
- Valuing externalities of outdoor advertising in an urban setting – the case of Warsaw
Journal of Urban Economics, 2022, 130, (C) View citations (1)
See also Working Paper Valuing externalities of outdoor advertising in an urban setting – the case of Warsaw, Working Papers (2020) (2020)
2018
- Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels
Financial Internet Quarterly (formerly e-Finanse), 2018, 14, (2), 67-82 View citations (1)
Undated
- Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states
Journal of Risk Model Validation
See also Working Paper Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states, Working Papers (2019) View citations (3) (2019)
- The importance of window size: a study on the required window size for optimal-quality market risk models
Journal of Risk Model Validation
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