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Witold Orzeszko

Personal Details

First Name:Witold
Middle Name:
Last Name:Orzeszko
Suffix:
RePEc Short-ID:por124
http://witold.orzeszko.wneiz.umk.pl

Affiliation

Wydział Nauk Ekonomicznych i Zarządzania
Uniwersytet Mikolaja Kopernika w Toruniu

Toruń, Poland
http://www.econ.uni.torun.pl/
RePEc:edi:wntorpl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Witold Orzeszko, 2017. "Nonparametric prediction of nonlinear time series. A Monte Carlo study," Proceedings of International Academic Conferences 5107220, International Institute of Social and Economic Sciences.

Articles

  1. Marcin Fałdziński & Piotr Fiszeder & Witold Orzeszko, 2020. "Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression," Energies, MDPI, vol. 14(1), pages 1-18, December.
  2. Witold Orzeszko, 2018. "Prognozowanie indeksu WIG za pomocą jądrowych estymatorów funkcji regresji," Bank i Kredyt, Narodowy Bank Polski, vol. 49(3), pages 253-288.
  3. Piotr Fiszeder & Witold Orzeszko, 2012. "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 430-449, November.
  4. Witold Orzeszko, 2010. "Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 97-106.
  5. Witold Orzeszko, 2010. "Fractal dimension of time series as a measure of investment risk," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 41, pages 57-70.
  6. Witold Orzeszko, 2008. "Applying the Concept of Granger Causality to Detect Nonlinear Autodependencies in Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 139-146.
  7. Orzeszko, Witold, 2008. "The new method of measuring the effects of noise reduction in chaotic data," Chaos, Solitons & Fractals, Elsevier, vol. 38(5), pages 1355-1368.
  8. Witold Orzeszko, 2006. "Properties of STUR Processes in the Framework of Chaos Theory," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 189-198.
  9. Witold Orzeszko, 2004. "How the Prediction Accuracy of Chaotic Time Series Depends on Methods of Determining the Parameters of Delay Vectors," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 6, pages 231-240.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Marcin Fałdziński & Piotr Fiszeder & Witold Orzeszko, 2020. "Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression," Energies, MDPI, vol. 14(1), pages 1-18, December.

    Cited by:

    1. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Working Papers 202138, University of Pretoria, Department of Economics.
    2. Witold Orzeszko, 2021. "Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting," Energies, MDPI, vol. 14(19), pages 1-16, September.
    3. Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment," Working Papers 202175, University of Pretoria, Department of Economics.
    4. Krzysztof Dmytrów & Joanna Landmesser & Beata Bieszk-Stolorz, 2021. "The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method," Energies, MDPI, vol. 14(13), pages 1-23, July.
    5. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
    6. Arthur Jin Lin, 2023. "Volatility Contagion from Bulk Shipping and Petrochemical Industries to Oil Futures Market during the Economic Uncertainty," Mathematics, MDPI, vol. 11(17), pages 1-19, August.

  2. Witold Orzeszko, 2010. "Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 97-106.

    Cited by:

    1. Piotr Fiszeder & Witold Orzeszko, 2012. "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 430-449, November.
    2. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).

  3. Witold Orzeszko, 2010. "Fractal dimension of time series as a measure of investment risk," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 41, pages 57-70.

    Cited by:

    1. Roman Kaminskiy & Nataliya Shakhovska & Jana Kajanová & Yurii Kryvenchuk, 2021. "Method of Distinguishing Styles by Fractal and Statistical Indicators of the Text as a Sequence of the Number of Letters in Its Words," Mathematics, MDPI, vol. 9(19), pages 1-16, September.

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