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Details about Piotr Fiszeder

E-mail:
Homepage:http://www.home.umk.pl/~piter/stronaangielska.htm
Phone:+48 56 6114902
Postal address:Department of Econometrics and Statistics, Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, ul. Gagarina 13A, 87-100 Torun Poland
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 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pfi197


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Working Papers

2022

  1. Forecasting: theory and practice
    Papers, arXiv.org Downloads View citations (70)
    See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) Downloads View citations (30) (2022)

Journal Articles

2024

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

2023

  1. Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
    Energy Economics, 2023, 120, (C) Downloads View citations (7)
  2. Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
    Journal of Empirical Finance, 2023, 70, (C), 308-321 Downloads View citations (6)

2022

  1. 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 Downloads View citations (8)
  2. Forecasting: theory and practice
    International Journal of Forecasting, 2022, 38, (3), 705-871 Downloads View citations (30)
    See also Working Paper Forecasting: theory and practice, Papers (2022) Downloads View citations (70) (2022)

2020

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

2019

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

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 (13)
  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
  4. Nonlinear Granger causality between grains and livestock
    Agricultural Economics, 2018, 64, (7), 328-336 Downloads View citations (1)

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 (17)

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 (9)

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

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 Downloads View citations (1)

2007

  1. 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 Downloads

2006

  1. 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 Downloads

2005

  1. 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

  1. 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 Downloads
 
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