Projects funded by the NCN
Robust methods for range-based models - Risk and comovement analysis on thecryptocurrency market
2021/43/B/HS4/00353
Keywords:
Volatility robust estimation range-based models forecasting risk analysis cryptocurrencies
Descriptors:
- HS4_003:
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Uniwersytet Mikołaja Kopernika w Toruniu, Wydział Nauk Ekonomicznych i Zarządzania
woj. kujawsko-pomorskie
Principal investigator (from the host institution):
Number of co-investigators in the project: 4
Call: OPUS 22 - announced on 2021-09-15
Amount awarded: 366 610 PLN
Project start date (Y-m-d): 2022-07-18
Project end date (Y-m-d): 2025-07-17
Project duration:: 36 months (the same as in the proposal)
Project status: Project completed
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.
Information in the final report
- Publication in academic press/journals (4)
- Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrenciesAuthors:Fiszeder P., Małecka M.Academic press:Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2022, tom: 17(4), strony: 939–967), Wydawca: Institute of Economic ResearchStatus:PublishedDOI:10.24136/eq.2022.032 - link to the publication
- Robust Estimation of the Range-Based GARCH Model: Forecasting Volatility, Value at Risk and Expected Shortfall of CryptocurrenciesAuthors:Fiszeder P., Małecka M., Molnár P.Academic press:Economic Modelling (rok: 2024, tom: 141, strony: 106887), Wydawca: ElsevierStatus:PublishedDOI:10.1016/j.econmod.2024.106887 - link to the publication
- Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrenciesAuthors:Fiszeder P., Małecka M.Academic press:Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2022, tom: 17(4), strony: 939–967), Wydawca: Institute of Economic ResearchStatus:PublishedDOI:10.24136/eq.2022.032 - link to the publication
- Forecasting cryptocurrencies volatility using statistical and machine learning methods: A comparative studyAuthors:Dudek G., Fiszeder P., Kobus P., Orzeszko W.Academic press:Applied Soft Computing (rok: 2024, tom: 151, strony: 111132), Wydawca: ElsevierStatus:PublishedDOI:10.1016/j.asoc.2023.111132 - link to the publication