Details about Marcin Faldzinski

Access statistics for papers by Marcin Faldzinski.

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

Short-id: pfa290

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

2015

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

Journal Articles

2020

1. Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression
   Energies, 2020, 14, (1), 1-18 View citations (7)
2. Searching for Factors of Accelerated Economic Growth: The Case of Ireland and Turkey
   European Research Studies Journal, 2020, XXIII, (1), 292-304 View citations (6)

2019

3. Improving forecasts with the co-range dynamic conditional correlation model
   Journal of Economic Dynamics and Control, 2019, 108, (C) View citations (14)
4. Range-based DCC models for covariance and value-at-risk forecasting
   Journal of Empirical Finance, 2019, 54, (C), 58-76 View citations (22)

2016

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

2012

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

2009

7. Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
   Dynamic Econometric Models, 2009, 9, 119-128
8. 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

2008

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

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 View citations (3)
   See also Working Paper Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany, Institute of Economic Research (2016) View citations (3) (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
   See also Working Paper Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany, Institute of Economic Research (2016) View citations (2) (2016)