Details about Piotr Fiszeder
Access statistics for papers by Piotr Fiszeder.
Last updated 2025-01-07. Update your information in the RePEc Author Service.
Short-id: pfi197
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Working Papers
2022
- Forecasting: theory and practice
Papers, arXiv.org View citations (70)
See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (30) (2022)
Journal Articles
2024
- Improving volatility forecasts: Evidence from range-based models
The North American Journal of Economics and Finance, 2024, 69, (PB) View citations (2)
- Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies
Economic Modelling, 2024, 141, (C)
2023
- Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
Energy Economics, 2023, 120, (C) View citations (7)
- Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Journal of Empirical Finance, 2023, 70, (C), 308-321 View citations (6)
2022
- Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies
Equilibrium. Quarterly Journal of Economics and Economic Policy, 2022, 17, (4), 939-967 View citations (8)
- Forecasting: theory and practice
International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (30)
See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (70) (2022)
2020
- Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression
Energies, 2020, 14, (1), 1-18 View citations (7)
2019
- Improving forecasts with the co-range dynamic conditional correlation model
Journal of Economic Dynamics and Control, 2019, 108, (C) View citations (14)
- Range-based DCC models for covariance and value-at-risk forecasting
Journal of Empirical Finance, 2019, 54, (C), 58-76 View citations (22)
2018
- 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 (13)
- Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis
Empirical Economics, 2018, 55, (2), 445-470
- Nonlinear Granger causality between grains and livestock
Agricultural Economics, 2018, 64, (7), 328-336 View citations (1)
2016
- Low and high prices can improve volatility forecasts during periods of turmoil
International Journal of Forecasting, 2016, 32, (2), 398-410 View citations (17)
2013
- 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 (9)
2012
- 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
2011
- Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
Dynamic Econometric Models, 2011, 11, 87-98
2008
- 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
2006
- 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
2004
- Dynamic Hedging Portfolios - Application of Bivariate GARCH Models
Dynamic Econometric Models, 2004, 6, 203-212
Chapters
2010
- Pricing the WIG20 Index Options Using GARCH Models
Chapter 10 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 141-156 View citations (1)
2007
- Testing the Arbitrage Pricing Model with a Factor Garch Model for the Polish Stock Market
Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 11-24
2006
- Test of the CAPM Model with Time-Varying Covariances for the Polish Stock Market
Chapter 14 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 241-255
2005
- Forecasting the Volatility of the Polish Stock Index - WIG20
Chapter 2 in Forecasting Financial Markets. Theory and Applications, 2005, pp 29-42 View citations (1)
2004
- Dynamic Asset Allocation - Markowitz Model
Chapter 13 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 203-215
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