Blar i UiS Brage på forfatter "Fałdziński, Marcin"
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Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
Fiszeder, Piotr; Fałdziński, Marcin; Molnar, Peter (Peer reviewed; Journal article, 2023)This paper studies the impact of investor attention to oil prices on returns, volatility, and covariances of three exchange traded funds representing oil, gold, and the stock market. For this purpose, we suggest a new ... -
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnar, Peter (Peer reviewed; Journal article, 2023-01)Models for variances and covariances of asset returns are crucial in risk management and asset allocation. Traditionally, these models were based on daily returns. Daily opening, high, low and closing (OHLC) prices have ... -
Range-based DCC models for covariance and value-at-risk forecasting
Molnar, Peter; Fiszeder, Piotr; Fałdziński, Marcin (Peer reviewed; Journal article, 2019-08)The dynamic conditional correlation (DCC) model by Engle (2002) is one of the most popular multivariate volatility models. This model is based solely on closing prices. It has been documented in the literature that the ...