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Mateusz Buczyński
(Mateusz Buczynski)

Personal Details

First Name:Mateusz
Middle Name:
Last Name:Buczynski
Suffix:
RePEc Short-ID:pbu522

Affiliation

Wydział Nauk Ekonomicznych
Uniwersytet Warszawski

Warszawa, Poland
http://www.wne.uw.edu.pl/
RePEc:edi:fesuwpl (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
  2. Mikołaj Czajkowski & Michał Bylicki & Wiktor Budziński & Mateusz Buczyński, 2020. "Valuing externalities of outdoor advertising in an urban setting – the case of Warsaw," Working Papers 2020-01, Faculty of Economic Sciences, University of Warsaw.
  3. Mateusz Buczyński & Marcin Chlebus, 2020. "Size does matter. A study on the required window size for optimal quality market risk models," Working Papers 2020-09, Faculty of Economic Sciences, University of Warsaw.
  4. Mateusz Buczyński & Marcin Chlebus, 2019. "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers 2019-12, Faculty of Economic Sciences, University of Warsaw.
  5. Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.

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

  1. Mateusz Buczyński & Marcin Chlebus, 2019. "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers 2019-12, Faculty of Economic Sciences, University of Warsaw.

    Cited by:

    1. Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2018-01-01 2019-08-19 2020-05-25 2021-06-14. Author is listed
  2. NEP-ECM: Econometrics (3) 2019-08-19 2020-05-25 2021-06-14. Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2018-01-01 2019-08-19 2021-06-14. Author is listed
  4. NEP-ORE: Operations Research (3) 2019-08-19 2020-05-25 2021-06-14. Author is listed
  5. NEP-BAN: Banking (2) 2018-01-01 2019-08-19. Author is listed
  6. NEP-FOR: Forecasting (2) 2018-01-01 2021-06-14. Author is listed
  7. NEP-BIG: Big Data (1) 2021-06-14
  8. NEP-CMP: Computational Economics (1) 2021-06-14
  9. NEP-CWA: Central & Western Asia (1) 2021-06-14
  10. NEP-DCM: Discrete Choice Models (1) 2020-02-17
  11. NEP-ENV: Environmental Economics (1) 2020-02-17
  12. NEP-URE: Urban & Real Estate Economics (1) 2020-02-17

Corrections

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