.
Slepaczuk, Robert's
Scholarly Papers
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column.
Aggregate Statistics
Total 634
Total Citations 0
1.
Slepaczuk, Robert Warsaw University, Department of Economics
Zakrzewski, Grzegorz affiliation not provided to SSRN
374(37,007)
financial market volatility, high-frequency data, realized volatility, realized range, implied and historical volatility, volatility forecasting, option pricing models, investment strategies, portfolio optimization,
2.
Strawinski, Pawel University of Warsaw, Department of Economics
Slepaczuk, Robert Warsaw University, Department of Economics
76(161,312)
high-frequency financial data, robust analysis, pre-weighting, efficient market hypothesis, calendar effects, intra-day effects, the open jump effect, the end of session effect, emerging markets
3.
Kokoszczynski, Ryszard National Bank of Poland
Sakowski, Pawel University of Warsaw
Slepaczuk, Robert Warsaw University, Department of Economics
Posted:
04 May 11
Last Revised:
07 May 11
71(167,944)
option pricing models, financial market volatility, high-frequency financial data, midquotes data, transactional data, realized volatility, implied volatility, stochastic volatility, microstructure bias, emerging markets
4.
Kokoszczynski, Ryszard National Bank of Poland
Sakowski, Pawel University of Warsaw
Slepaczuk, Robert Warsaw University, Department of Economics
Posted:
10 Mar 12
Last Revised:
31 Oct 12
61(182,228)
option pricing models, financial market volatility, high frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets, Warsaw Stock Exchange
5.
Kokoszczynski, Ryszard National Bank of Poland
Sakowski, Pawel University of Warsaw
Slepaczuk, Robert Warsaw University, Department of Economics
Strawinski, Pawel University of Warsaw, Department of Economics
Nehrebecka, Natalia affiliation not provided to SSRN
31(240,579)
option pricing models, financial market volatility, high-frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets
6.
Kokoszczynski, Ryszard National Bank of Poland
Sakowski, Pawel University of Warsaw
Slepaczuk, Robert Warsaw University, Department of Economics
21(271,695)
option pricing models, financial market volatility, high-frequency financial data, midquotes data, transactional data, realized volatility, implied volatility, microstructure bias, emerging markets
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