Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Multivariate volatility models - the application of low and high prices

2016/21/B/HS4/00662

Keywords:

multivariate volatility models model DCC low and high prices covariance forecasting portfolio of assets

Descriptors:

  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Mikołaja Kopernika, Wydział Nauk Ekonomicznych i Zarządzania

woj. kujawsko-pomorskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Piotr Fiszeder 

Number of co-investigators in the project: 6

Call: OPUS 11 - announced on 2016-03-15

Amount awarded: 184 000 PLN

Project start date (Y-m-d): 2017-02-06

Project end date (Y-m-d): 2022-02-05

Project duration:: 60 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Komputer stacjonarny (6 000 PLN)
  2. Drukarka (1 000 PLN)
  3. Oprogramowanie komputerowe (Windows, Microsoft Office) oraz specjalistyczne oprogramowanie ekonometryczne (8 000 PLN)

Information in the final report

  • Publication in academic press/journals (9)
  • Book publications / chapters in book publications (1)
  1. Improving Forecasts with the Co-Range Dynamic Conditional Correlation Model
    Authors:
    Fiszeder Piotr, Fałdziński Marcin
    Academic press:
    Journal of Economic Dynamics and Control (rok: 2019, tom: 108, strony: 103736), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2019.103736 - link to the publication
  2. Modeling and Forecasting Dynamic Conditional Correlation with Opening, High, Low and Closing Prices
    Authors:
    Fiszeder Piotr, Fałdziński Marcin, Molnár Peter
    Academic press:
    Journal of Empirical Finance (rok: 2023, tom: 70, strony: 308-321), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jempfin.2022.12.007 - link to the publication
  3. Modelowanie kowariancji kursów walutowych z zastosowaniem cen minimalnych i maksymalnych
    Authors:
    Fiszeder Piotr
    Academic press:
    Problemy Zarządzania – Management Issues (rok: 2018, tom: 16, 3 (76), strony: 37-49), Wydawca: Wydział Zarządzania Uniwersytetu Warszawskiego
    Status:
    Published
    DOI:
    10.7172/1644-9584.76.3 - link to the publication
  4. Range-Based DCC Models for Covariance and Value-at-Risk Forecasting
    Authors:
    Fiszeder Piotr, Fałdziński Marcin, Molnár Peter
    Academic press:
    Journal of Empirical Finance (rok: 2019, tom: 54, strony: 58-76), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jempfin.2019.08.004 - link to the publication
  5. Low and high prices can improve covariance forecasts: The evidence based on currency rates
    Authors:
    Fiszeder Piotr
    Academic press:
    Journal of Forecasting (rok: 2018, tom: 37 (6), strony: 641-649), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1002/for.2525 - link to the publication
  6. Improving Volatility Forecasts: Evidence from Range-Based Models
    Authors:
    Fałdziński Marcin, Fiszeder Piotr, Molnár Peter
    Academic press:
    The North American Journal of Economics and Finance , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  7. Forecasting Currency Covariances Using Machine Learning Tree-Based Algorithms with Low and High Prices
    Authors:
    Bejger Sylwester, Fiszeder Piotr
    Academic press:
    Przegląd Statystyczny (rok: 2021, tom: 68 (3), strony: 45306), Wydawca: Główny Urząd Statystyczny
    Status:
    Published
    DOI:
    10.5604/01.3001.0015.5582 - link to the publication
  8. Forecasting: Theory and Practice
    Authors:
    Fotios Petropoulos, Daniele Apiletti, Vassilios Assimakopoulos, Mohamed Zied Babai, Devon K. Barrow, Souhaib Ben Taieb, Christoph Bergmeir, Ricardo J. Bessa, Jakub Bijak, John E. Boylan, Jethro Browell, Claudio Carnevale, Jennifer L. Castle, Pasquale Cirillo, Michael P. Clements, Clara Cordeiro, Fernando Luiz Cyrino Oliveira, Shari De Baets, Alexander Dokumentov, Joanne Ellison, Piotr Fiszeder, Philip Hans Franses, David T. Frazier, Michael Gilliland, M. Sinan Gönül, Paul Goodwin, Luigi Grossi, Yael Grushka-Cockayne, Mariangela Guidolin, Massimo Guidolin, Ulrich Gunter, Xiaojia Guo, Renato Guseo, Nigel Harvey, David F. Hendry, Ross Hollyman, Tim Januschowski, Jooyoung Jeon, Victor Richmond R. Jose, Yanfei Kang, Anne B. Koehler, Stephan Kolassa, Nikolaos Kourentzes, Sonia Leva, Feng Li, Konstantia Litsiou, Spyros Makridakis, Gael M. Martin,,rew B. Martinez, Sheik Meeran, Theodore Modis, Konstantinos Nikolopoulos, Dilek Önkal, Alessia Paccagnini, Anastasios Panagiotelis, Ioannis Panapakidis, Jose M. Pavía, Manuela Pedio, Diego J. Pedregal, Pierre Pinson, Patrícia Ramos, David E. Rapach, J. James Reade, Bahman Rostami-Tabar, Michał Rubaszek, Georgios Sermpinis, Han Lin Shang, Evangelos Spiliotis, Aris A. Syntetos, Priyanga Dilini Talagala, Thiyanga S. Talagala, Len Tashman, Dimitrios Thomakos, Thordis Thorarinsdottir, Ezio Todini, Juan Ramón Trapero Arenas, Xiaoqian Wang, Robert L. Winkler, Alisa Yusupova, Florian Ziel
    Academic press:
    International Journal of Forecasting (rok: 2022, tom: 38 (3), strony: 705-871), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2021.11.001 - link to the publication
  9. Covariance Matrix Forecasting Using Support Vector Regression
    Authors:
    Fiszeder Piotr, Orzeszko Witold
    Academic press:
    Applied Intelligence (rok: 2021, tom: 51 (10), strony: 7029-7042), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10489-021-02217-5 - link to the publication
  1. Cała książka
    Authors:
    Fiszeder Piotr
    Book:
    Ceny minimalne i maksymalne w modelowaniu i prognozowaniu zmienności oraz zależności na rynkach finansowych (rok: 2020, tom: Brak tomów, strony: 1-161), Wydawca: Wydawnictwo Naukowe PWN
    Status:
    Published

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