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Przeglądanie wg autora "Fałdziński, Marcin"
Wyświetlono pozycje 1-5 z 5
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Zineker, Marek; Balcerzak, Adam P.; Fałdziński, Marcin; Meluzín, Tomáš; Pietrzak, Michał Bernard (The Slovak Society for Operations Research Department of Operations Research and Econometrics Faculty of Economic Informatics, University of Economics in Bratislava, 2016)The phenomenon of growing capital market linkages is a significant exogenous factor affecting the effectiveness of national economic policies and risk management processes in enterprises. As a result the identification of ...
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Fałdziński, Marcin (2009-07-18)The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied ...
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Fałdziński, Marcin; Balcerzak, Adam P.; Meluzín, Tomáš; Pietrzak, Michał Bernard; Zineker, Marek (2016-09-21)Identification of linkages among capital markets is crucial for forming policies that take into account risk associated with international financial markets in-terdependencies. Thus, the aim of the article is to analyse ...
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Fałdziński, Marcin; Osińska, Magdalena (2016-12-28)The purpose of the research is to compare the performance of different volatility measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators ...
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Fałdziński, Marcin (2009-11-15)The main aim of this paper is presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method. The standard volatility models better estimate medium size values of ...
Wyświetlono pozycje 1-5 z 5
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