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Details about Marcin Faldzinski

E-mail:
Homepage:http://www.marf.com.pl
Workplace:Wydział Nauk Ekonomicznych i Zarządzania (Faculty of Economic Sciences and Management), Uniwersytet Mikolaja Kopernika w Toruniu (Nicolas Copernicus University), (more information at EDIRC)

Access statistics for papers by Marcin Faldzinski.

Last updated 2021-01-07. Update your information in the RePEc Author Service.

Short-id: pfa290


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Working Papers

2016

  1. Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany
    Working Papers, Institute of Economic Research Downloads View citations (3)
    See also Chapter (2016)
  2. Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
    Working Papers, Institute of Economic Research Downloads View citations (2)
    See also Chapter (2016)
  3. Interdependence among Capital Markets of Germany, Poland and Baltic States
    Working Papers, Institute of Economic Research Downloads
  4. Value-at-Risk with Application of DCC-GARCH Model
    Working Papers, Institute of Economic Research Downloads

2015

  1. Analiza powiazan pomiedzy rynkami kapitalowymi wybranych krajow grupy wyszehradzkiej
    Working Papers, Institute of Economic Research Downloads
  2. The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations
    Working Papers, Institute of Economic Research Downloads

Journal Articles

2020

  1. Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression
    Energies, 2020, 14, (1), 1-18 Downloads
  2. Searching for Factors of Accelerated Economic Growth: The Case of Ireland and Turkey
    European Research Studies Journal, 2020, XXIII, (1), 292-304 Downloads View citations (1)

2019

  1. Improving forecasts with the co-range dynamic conditional correlation model
    Journal of Economic Dynamics and Control, 2019, 108, (C) Downloads View citations (3)
  2. Range-based DCC models for covariance and value-at-risk forecasting
    Journal of Empirical Finance, 2019, 54, (C), 58-76 Downloads View citations (3)

2016

  1. Volatility estimators in econometric analysis of risk transfer on capital markets
    Dynamic Econometric Models, 2016, 16, 21-35 Downloads

2012

  1. Detecting Risk Transfer in Financial Markets using Different Risk Measures
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (1), 45-64 Downloads View citations (2)

2009

  1. Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
    Dynamic Econometric Models, 2009, 9, 119-128 Downloads
  2. ESTIMATION OF THE PROBABLE MAXIMUM LOSS BASED ON EXTREME VALUE THEORY FOR STOCK RETURNS
    Equilibrium. Quarterly Journal of Economics and Economic Policy, 2009, 2, (1), 51-59 Downloads

2008

  1. GARCH and SV Models with Application of Extreme Value Theory
    Dynamic Econometric Models, 2008, 8, 45-52 Downloads

Chapters

2016

  1. Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany
    Chapter 67 in Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, 2016, vol. 1, pp 418-423 Downloads View citations (3)
    See also Working Paper (2016)
  2. Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
    Chapter 33 in 34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings, 2016, vol. 1, pp 189-194 Downloads
    See also Working Paper (2016)
 
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