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

Working Papers

2022

1. Forecasting: theory and practice
   Papers, arXiv.org View citations (75)
   See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (35) (2022)

Journal Articles

2024

1. Improving volatility forecasts: Evidence from range-based models
   The North American Journal of Economics and Finance, 2024, 69, (PB) View citations (2)
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

3. Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
   Energy Economics, 2023, 120, (C) View citations (8)
4. 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

5. 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)
6. Forecasting: theory and practice
   International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (35)
   See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (75) (2022)

2020

7. Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression
   Energies, 2020, 14, (1), 1-18 View citations (7)

2019

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

2018

10. 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
11. 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)
12. Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis
    Empirical Economics, 2018, 55, (2), 445-470
13. Nonlinear Granger causality between grains and livestock
    Agricultural Economics, 2018, 64, (7), 328-336 View citations (1)

2016

14. 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

15. 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

16. 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

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

2008

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

2006

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

2004

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

Chapters

2010

1. 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

2. 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

3. 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

4. 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

5. 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