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Details about Piotr Fiszeder

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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 Piotr Fiszeder.

Last updated 2020-02-14. Update your information in the RePEc Author Service.

Short-id: pfi197


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Journal Articles

2019

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

2018

  1. 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 Downloads
  2. Low and high prices can improve covariance forecasts: The evidence based on currency rates
    Journal of Forecasting, 2018, 37, (6), 641-649 Downloads View citations (1)
  3. Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis
    Empirical Economics, 2018, 55, (2), 445-470 Downloads

2016

  1. Low and high prices can improve volatility forecasts during periods of turmoil
    International Journal of Forecasting, 2016, 32, (2), 398-410 Downloads View citations (4)

2013

  1. 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 Downloads View citations (5)

2012

  1. 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 Downloads

2011

  1. Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
    Dynamic Econometric Models, 2011, 11, 87-98 Downloads

2008

  1. How to Increase Accuracy of Volatility Forecasts Based on GARCH Models
    Dynamic Econometric Models, 2008, 8, 111-118 Downloads
  2. Pricing of Weather Options for Berlin Quoted on the Chicago Mercantile Exchange
    Dynamic Econometric Models, 2008, 8, 163-170 Downloads

2006

  1. Conformable Models for GARCH Processes
    Dynamic Econometric Models, 2006, 7, 143-150 Downloads
  2. Modelling Financial Processes with Long Memory in Mean and Variance
    Dynamic Econometric Models, 2006, 7, 133-142 Downloads

2004

  1. Dynamic Hedging Portfolios - Application of Bivariate GARCH Models
    Dynamic Econometric Models, 2004, 6, 203-212 Downloads
 
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