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Browsing Artykuły (WNEZ) by Subject "GARCH models"

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Browsing Artykuły (WNEZ) by Subject "GARCH models"

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  • Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market 
    Ganczarek-Gamrot, Alicja; Stawicki, Józef (2017-12-31)
    The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the gas ...
  • Option Pricing under Sign RCA-GARCH Models 
    Górka, Joanna (2015-04-16)
    After Black and Scholes’s groundbreaking work, the literature concerning pricing options has become a very important area of research. Numerous option valuation methods have been developed. This paper shows how one can ...

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