TīmeklisPiotr Fiszeder works at the Department of Econometrics and Statistics, Nicolaus Copernicus University. His interests concern financial econometrics and the … Tīmeklisnár, 2016; Fiszeder et al., 2024 or Fiszeder & Fałdzi ński, 2024), they com-pare the benefits from using the RGARCH models to the benefits from using the robust approach. This is an important ...

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TīmeklisPiotr Fiszeder, 2006. "Conformable Models for GARCH Processes," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 143-150. Piotr Fiszeder, 2006. "Modelling Financial Processes with Long Memory in Mean and Variance," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, … Tī[email protected]; Department of Econometrics and Statistics, Faculty of Economic Sciences and Management, Nicolaus Copernicus University, ul. Gagarina 13a, 87-100 Torun, Poland. Search for more papers by this author arti amaranth

Forecasting Cryptocurrencies Volatility Using Statistical and …

TīmeklisIn this paper we introduce a new specification of the BEKK model, where its parameters are estimated with the use of closing and additionally low and high prices. In an empirical application, we show that the use of additional information related to low and high prices in the formulation of the BEKK model improved the estimation of the … Tīmeklis2012. gada 16. dec. · dr Piotr Fiszeder - Ekonometria Modele procesów stacjonarnych Podstawowymi modelami stacjonarnych procesów ekonomicznych … TīmeklisFiszeder, 2001). W niniejszym artykule pod poj ęciem modeli GARCH rozumie si ę nie tylko model GARCH wprowadzony niezale Ŝnie przez Bollersleva (1986) i Taylora … arti amar ma'ruf nahi munkar yaitu