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Pawel Sakowski

Personal Details

First Name:Pawel
Middle Name:
Last Name:Sakowski
Suffix:
RePEc Short-ID:psa504
http://www.wne.uw.edu.pl/sakowski
Dluga 44/50, 00-241 Warsaw

Affiliation

Wydział Nauk Ekonomicznych
Uniwersytet Warszawski

Warszawa, Poland
http://www.wne.uw.edu.pl/

: (+48 22) 55 49 144
(+48 22) 831 28 46
ul. Dluga 44/50, 00-241 Warszawa
RePEc:edi:fesuwpl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2015. "Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices," Working Papers 2015-39, Faculty of Economic Sciences, University of Warsaw.
  2. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies," Working Papers 2014-26, Faculty of Economic Sciences, University of Warsaw.
  3. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?," Working Papers 2014-18, Faculty of Economic Sciences, University of Warsaw.
  4. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Simple heuristics for pricing VIX options," Working Papers 2014-25, Faculty of Economic Sciences, University of Warsaw.
  5. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Options delta hedging with no options at all," Working Papers 2014-27, Faculty of Economic Sciences, University of Warsaw.
  6. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
  7. Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk, 2010. "Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures," Working Papers 2010-03, Faculty of Economic Sciences, University of Warsaw.
  8. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2010. "Midquotes or Transactional Data? The Comparison of Black Model on HF Data," Working Papers 2010-15, Faculty of Economic Sciences, University of Warsaw.
  9. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2010. "Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options," Working Papers 2010-16, Faculty of Economic Sciences, University of Warsaw.
  10. Jakubowski, Maciej & Sakowski, Pawel, 2006. "Quasi-Experimental Estimates of Class Size Effect in Primary Schools in Poland," MPRA Paper 4958, University Library of Munich, Germany.

Articles

  1. Juliusz Jablecki & Robert Slepaczuk & Ryszard Kokoszczynski & Pawel Sakowski & Piotr Wojcik, 2014. "Does historical VIX term structure contain valuable information for predicting VIX futures?," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 5-28.
  2. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Wycena opcji na VIX – podejscie heurystyczne," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 38.
  3. Reinhard Busse & Alexander Geissler & Anne Mason & Zeynep Or & David Scheller‐Kreinsen & Andrew Street & Gerli Paat‐Ahi & Maria Świderek & Paweł Sakowski & Janek Saluse & Ain Aaviksoo, 2012. "DRGs IN EUROPE: A CROSS COUNTRY ANALYSIS FOR CHOLECYSTECTOMY," Health Economics, John Wiley & Sons, Ltd., vol. 21, pages 66-76, August.
  4. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2012. "Volatility Measurement, Modeling and Forecasting—An Overview of the Literature," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 31.

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. Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2015. "Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices," Working Papers 2015-39, Faculty of Economic Sciences, University of Warsaw.

    Cited by:

    1. Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study," Working Papers 2016-08, Faculty of Economic Sciences, University of Warsaw.

  2. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.

    Cited by:

    1. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.

  3. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2010. "Midquotes or Transactional Data? The Comparison of Black Model on HF Data," Working Papers 2010-15, Faculty of Economic Sciences, University of Warsaw.

    Cited by:

    1. Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.

  4. Jakubowski, Maciej & Sakowski, Pawel, 2006. "Quasi-Experimental Estimates of Class Size Effect in Primary Schools in Poland," MPRA Paper 4958, University Library of Munich, Germany.

    Cited by:

    1. Coupe, Tom & Olefir, Anna & Alonso, Juan Diego, 2011. "Is optimization an opportunity ? an assessment of the impact of class size and school size on the performance of Ukrainian secondary schools," Policy Research Working Paper Series 5879, The World Bank.
    2. Ángela Rocío López Sánchez & Andrés Felipe Virgüez Clavijo & Jaime Andrés Sarmiento Espinel & Adriana Carolina Silva Arias, 2015. "El efecto de la gerencia privada de escuelas públicas en el desempeño estudiantil en la educación media en Colombia," REVISTA ECOS DE ECONOMÍA, UNIVERSIDAD EAFIT, vol. 19(41), pages 108-136, December.
    3. Urquiola, Miguel & Verhoogen, Eric A, 2007. "Class Size and Sorting in Market Equilibrium: Theory and Evidence," CEPR Discussion Papers 6425, C.E.P.R. Discussion Papers.

Articles

    Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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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 9 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) 2010-12-18 2014-07-13 2014-10-22 2014-11-07
  2. NEP-MST: Market Microstructure (2) 2010-12-04 2010-12-18
  3. NEP-FMK: Financial Markets (1) 2015-11-21
  4. NEP-FOR: Forecasting (1) 2014-07-13

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