4
H index
0
i10 index
29
Citations
Uniwersytet Mikolaja Kopernika w Toruniu | 4 H index 0 i10 index 29 Citations RESEARCH PRODUCTION: 15 Articles 1 Papers 5 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Piotr Fiszeder. | Is cited by: | Cites to: |
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Dynamic Econometric Models | 6 |
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2021 | Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567. Full description at Econpapers || Download paper |
2021 | Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110. Full description at Econpapers || Download paper |
2022 | Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73. Full description at Econpapers || Download paper |
2022 | Large dynamic covariance matrices: Enhancements based on intraday data. (2022). Wolf, Michael ; Ledoit, Olivier ; Engle, Robert F ; de Nard, Gianluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000267. Full description at Econpapers || Download paper |
2021 | Information content of liquidity and volatility measures. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307627. Full description at Econpapers || Download paper |
2021 | The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method. (2021). Bieszk-Stolorz, Beata ; Landmesser, Joanna ; Dmytrow, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:13:p:4024-:d:588218. Full description at Econpapers || Download paper |
2021 | Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470. Full description at Econpapers || Download paper |
2021 | Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting. (2021). Orzeszko, Witold. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6043-:d:640970. Full description at Econpapers || Download paper |
2021 | Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment. (2021). Pierdzioch, Christian ; GUPTA, RANGAN. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:23:p:8085-:d:693917. Full description at Econpapers || Download paper |
2022 | Modelling Energy Transition in Germany: An Analysis through Ordinary Differential Equations and System Dynamics. (2022). Guidolin, Mariangela ; de Giovanni, Luigi ; Savio, Andrea. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:2:p:25-455:d:790008. Full description at Econpapers || Download paper |
2022 | Diffusion of Solar PV Energy in the UK: A Comparison of Sectoral Patterns. (2022). della Posta, Pompeo ; Manfredi, Piero ; Guidolin, Mariangela ; Bunea, Anita M. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:2:p:26-476:d:798344. Full description at Econpapers || Download paper |
2022 | Analyzing and Forecasting Multi-Commodity Prices Using Variants of Mode Decomposition-Based Extreme Learning Machine Hybridization Approach. (2022). Fianu, Emmanuel Senyo. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:2:p:30-564:d:836532. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet ; Bouri, Elie. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7987-:d:596011. Full description at Econpapers || Download paper |
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2022 | Forecasting: theory and practice In: Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | A new look at variance estimation based on low, high and closing prices taking into account the drift In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 4 |
2011 | Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 0 |
2004 | Dynamic Hedging Portfolios - Application of Bivariate GARCH Models In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 0 |
2006 | Modelling Financial Processes with Long Memory in Mean and Variance In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 0 |
2006 | Conformable Models for GARCH Processes In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 0 |
2008 | How to Increase Accuracy of Volatility Forecasts Based on GARCH Models In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 0 |
2008 | Pricing of Weather Options for Berlin Quoted on the Chicago Mercantile Exchange In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 0 |
2019 | Improving forecasts with the co-range dynamic conditional correlation model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
2019 | Range-based DCC models for covariance and value-at-risk forecasting In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
2016 | Low and high prices can improve volatility forecasts during periods of turmoil In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2012 | Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 0 |
2020 | Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression In: Energies. [Full Text][Citation analysis] | article | 5 |
2018 | Exchange Rate Covariance Modelling by Means of Minimum and Maximum Prices (Modelowanie kowariancji kursow walutowych z zastosowaniem cen minimalnych i maksymalnych) In: Problemy Zarzadzania. [Full Text][Citation analysis] | article | 0 |
2018 | Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
2018 | Low and high prices can improve covariance forecasts: The evidence based on currency rates In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
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