EconPapers    
Economics at your fingertips  
 

Details about Marcin Chlebus

E-mail:
Workplace:Wydział Nauk Ekonomicznych (Faculty of Economic Sciences), Uniwersytet Warszawski (University of Warsaw), (more information at EDIRC)

Access statistics for papers by Marcin Chlebus.

Last updated 2019-09-11. Update your information in the RePEc Author Service.

Short-id: pch1469


Jump to Journal Articles

Working Papers

2019

  1. 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 Downloads

2017

  1. 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 Downloads

2016

  1. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk
    Working Papers, Faculty of Economic Sciences, University of Warsaw Downloads
    See also Journal Article in Central European Economic Journal (2017)
  2. One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable
    Working Papers, Faculty of Economic Sciences, University of Warsaw Downloads View citations (1)

Journal Articles

2018

  1. One-day-ahead forecast of state of turbulence based on today's economic situation
    Equilibrium. Quarterly Journal of Economics and Economic Policy, 2018, 13, (3), 357-389 Downloads

2017

  1. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk
    Central European Economic Journal, 2017, 3, (50), 01-25 Downloads
    See also Working Paper (2016)

2014

  1. One-day prediction of state of turbulence for financial instrument based on models for binary dependent variable
    Ekonomia journal, 2014, 37 Downloads
 
Page updated 2019-11-14