Details about Piotr Fiszeder
Access statistics for papers by Piotr Fiszeder.
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- Improving forecasts with the co-range dynamic conditional correlation model
Journal of Economic Dynamics and Control, 2019, 108, (C)
- Range-based DCC models for covariance and value-at-risk forecasting
Journal of Empirical Finance, 2019, 54, (C), 58-76
- Exchange Rate Covariance Modelling by Means of Minimum and Maximum Prices (Modelowanie kowariancji kursow walutowych z zastosowaniem cen minimalnych i maksymalnych)
Problemy Zarzadzania, 2018, 16, (76), 37-49
- Low and high prices can improve covariance forecasts: The evidence based on currency rates
Journal of Forecasting, 2018, 37, (6), 641-649 View citations (1)
- Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis
Empirical Economics, 2018, 55, (2), 445-470
- Low and high prices can improve volatility forecasts during periods of turmoil
International Journal of Forecasting, 2016, 32, (2), 398-410 View citations (4)
- A new look at variance estimation based on low, high and closing prices taking into account the drift
Statistica Neerlandica, 2013, 67, (4), 456-481 View citations (5)
- Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices
Czech Journal of Economics and Finance (Finance a uver), 2012, 62, (5), 430-449
- Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
Dynamic Econometric Models, 2011, 11, 87-98
- How to Increase Accuracy of Volatility Forecasts Based on GARCH Models
Dynamic Econometric Models, 2008, 8, 111-118
- Pricing of Weather Options for Berlin Quoted on the Chicago Mercantile Exchange
Dynamic Econometric Models, 2008, 8, 163-170
- Conformable Models for GARCH Processes
Dynamic Econometric Models, 2006, 7, 143-150
- Modelling Financial Processes with Long Memory in Mean and Variance
Dynamic Econometric Models, 2006, 7, 133-142
- Dynamic Hedging Portfolios - Application of Bivariate GARCH Models
Dynamic Econometric Models, 2004, 6, 203-212
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