Robert Ślepaczuk : Citation Profile


Are you Robert Ślepaczuk?

Uniwersytet Warszawski

3

H index

0

i10 index

20

Citations

RESEARCH PRODUCTION:

13

Articles

28

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 1
   Journals where Robert Ślepaczuk has often published
   Relations with other researchers
   Recent citing documents: 5.    Total self citations: 9 (31.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple519
   Updated: 2021-10-16    RAS profile: 2021-08-22    
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Relations with other researchers


Works with:

Sakowski, Pawel (9)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Ślepaczuk.

Is cited by:

Caporale, Guglielmo Maria (3)

Sakowski, Pawel (3)

Plastun, Alex (3)

Gil-Alana, Luis (2)

Makarenko, Inna (2)

Deev, Oleg (1)

Fassas, Athanasios (1)

Heryan, Tomas (1)

Stavarek, Daniel (1)

Cites to:

Bollerslev, Tim (21)

Andersen, Torben (14)

Fama, Eugene (13)

Diebold, Francis (10)

French, Kenneth (9)

Scholes, Myron (9)

Sakowski, Pawel (9)

merton, robert (7)

Neely, Christopher (7)

Brorsen, B (7)

Titman, Sheridan (7)

Main data


Where Robert Ślepaczuk has published?


Journals with more than one article published# docs
Ekonomia journal4
Central European Economic Journal3

Working Papers Series with more than one paper published# docs
Working Papers / Faculty of Economic Sciences, University of Warsaw27

Recent works citing Robert Ślepaczuk (2021 and 2020)


YearTitle of citing document
2021Dynamic time series momentum of cryptocurrencies. (2021). Borgards, Oliver. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000590.

Full description at Econpapers || Download paper

2021Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

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2020Momentum effects in the cryptocurrency market after one-day abnormal returns. (2020). Plastun, Alex ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00357-1.

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2020Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework. (2020). Turovtseva, Anna ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2020-41.

Full description at Econpapers || Download paper

2020Does Bitcoin Improve Investment Portfolio Efficiency?. (2020). Turovtseva, Daria ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2020-42.

Full description at Econpapers || Download paper

Works by Robert Ślepaczuk:


YearTitleTypeCited
2014Does historical VIX term structure contain valuable information for predicting VIX futures? In: Dynamic Econometric Models.
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article1
2019Momentum and contrarian effects on the cryptocurrency market In: Physica A: Statistical Mechanics and its Applications.
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article3
2018Momentum and contrarian effects on the cryptocurrency market.(2018) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2004Efficiency of the Market of Derivative Instruments Listed on the Warsaw Stock Exchange In: Ekonomia journal.
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article0
2012Volatility Measurement, Modeling and Forecasting—An Overview of the Literature In: Ekonomia journal.
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article0
2014Wycena opcji na VIX – podejscie heurystyczne In: Ekonomia journal.
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2016Applying exogenous variables and regime switching to multi-factor models on equity indices In: Ekonomia journal.
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article0
2016Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices.(2016) In: Working Papers.
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2008Analysis of HF data on the WSE in the context of EMH In: MPRA Paper.
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2008Analysis of HF data on the WSE in the context of EMH.(2008) In: Working Papers.
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2016CROSS-SECTIONAL RETURNS WITH VOLATILITY REGIMES FROM A DIVERSE PORTFOLIO OF EMERGING AND DEVELOPED EQUITY INDICES In: e-Finanse.
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article0
2015Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices.(2015) In: Working Papers.
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2008ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS In: Journal of Applied Economic Sciences.
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article6
2017Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options In: Central European Economic Journal.
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article0
2018Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market In: Central European Economic Journal.
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2019Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market.(2019) In: Working Papers.
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2018Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency In: Central European Economic Journal.
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article0
2020Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor In: Economics and Business Review.
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2019Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor..(2019) In: Working Papers.
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2009Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices In: Working Papers.
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2009High-Frequency and Model-Free Volatility Estimators In: Working Papers.
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2010Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures In: Working Papers.
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2010Midquotes or Transactional Data? The Comparison of Black Model on HF Data In: Working Papers.
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2010Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options In: Working Papers.
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2012Investment strategies beating the market. What can we squeeze from the market? In: Working Papers.
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2014Does historical volatility term structure contain valuable in-formation for predicting volatility index futures? In: Working Papers.
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2014Simple heuristics for pricing VIX options In: Working Papers.
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2014Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies In: Working Papers.
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2014Options delta hedging with no options at all In: Working Papers.
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2016Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study In: Working Papers.
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2016Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models? In: Working Papers.
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2018Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions In: Working Papers.
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2018Machine learning in algorithmic trading strategy optimization - implementation and efficiency In: Working Papers.
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2019Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach In: Working Papers.
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2020Artificial Neural Networks Performance in WIG20 Index Options Pricing In: Working Papers.
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2020Predicting prices of S&P500 index using classical methods and recurrent neural networks In: Working Papers.
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2020Value-at-risk — the comparison of state-of-the-art models on various assets In: Working Papers.
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2020Variance Gamma Model in Hedging Vanilla and Exotic Options In: Working Papers.
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2020The impact of the results of football matches on the stock prices of soccer clubs In: Working Papers.
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2020Applying Hurst Exponent in Pair Trading Strategies In: Working Papers.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team