Details about Pawel Sakowski

Access statistics for papers by Pawel Sakowski.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: psa504

Working Papers

2020

1. Does Bitcoin Improve Investment Portfolio Efficiency?
   Working Papers, Faculty of Economic Sciences, University of Warsaw
2. Investing in VIX futures based on rolling GARCH models forecasts
   Working Papers, Faculty of Economic Sciences, University of Warsaw
3. Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework
   Working Papers, Faculty of Economic Sciences, University of Warsaw

2018

4. Momentum and contrarian effects on the cryptocurrency market
   Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
   See also Journal Article Momentum and contrarian effects on the cryptocurrency market, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (14) (2019)
5. Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions
   Working Papers, Faculty of Economic Sciences, University of Warsaw

2016

6. Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices
   Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
   See also Journal Article Applying exogenous variables and regime switching to multi-factor models on equity indices, Ekonomia journal, Faculty of Economic Sciences, University of Warsaw (2016) (2016)
7. Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?
   Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (2)
8. Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study
   Working Papers, Faculty of Economic Sciences, University of Warsaw

2015

9. Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices
   Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
   See also Journal Article CROSS-SECTIONAL RETURNS WITH VOLATILITY REGIMES FROM A DIVERSE PORTFOLIO OF EMERGING AND DEVELOPED EQUITY INDICES, "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis (2016) (2016)

2014

10. Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
11. Options delta hedging with no options at all
    Working Papers, Faculty of Economic Sciences, University of Warsaw
12. Simple heuristics for pricing VIX options
    Working Papers, Faculty of Economic Sciences, University of Warsaw
13. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2012

14. Investment strategies beating the market. What can we squeeze from the market?
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (3)

2010

15. Midquotes or Transactional Data? The Comparison of Black Model on HF Data
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (2)
16. Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
17. Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2006

18. Quasi-Experimental Estimates of Class Size Effect in Primary Schools in Poland
    MPRA Paper, University Library of Munich, Germany View citations (11)

Journal Articles

2019

1. Momentum and contrarian effects on the cryptocurrency market
   Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 691-701 View citations (14)
   See also Working Paper Momentum and contrarian effects on the cryptocurrency market, Working Papers (2018) View citations (1) (2018)

2018

2. Investment Strategies that Beat the Market. What Can We Squeeze from the Market?
   Financial Internet Quarterly (formerly e-Finanse), 2018, 14, (4), 36-55 View citations (2)

2017

3. Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options
   Central European Economic Journal, 2017, 4, (51), 18-39 View citations (1)

2016

4. Applying exogenous variables and regime switching to multi-factor models on equity indices
   Ekonomia journal, 2016, 47
   See also Working Paper Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices, Working Papers (2016) View citations (1) (2016)
5. CROSS-SECTIONAL RETURNS WITH VOLATILITY REGIMES FROM A DIVERSE PORTFOLIO OF EMERGING AND DEVELOPED EQUITY INDICES
   "e-Finanse", 2016, 12, (2), 23-35
   See also Working Paper Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices, Working Papers (2015) View citations (1) (2015)

2014

6. Does historical VIX term structure contain valuable information for predicting VIX futures?
   Dynamic Econometric Models, 2014, 14, 5-28 View citations (2)
7. Wycena opcji na VIX – podejscie heurystyczne
   Ekonomia journal, 2014, 38

2012

8. DRGs IN EUROPE: A CROSS COUNTRY ANALYSIS FOR CHOLECYSTECTOMY
   Health Economics, 2012, 21, (S2), 66-76 View citations (1)
9. Volatility Measurement, Modeling and Forecasting—An Overview of the Literature
   Ekonomia journal, 2012, 31