Michał Rubaszek

Warsaw School of Economics (SGH)

aleja Niepodleglosci 162

PL-Warsaw, 02-554

Poland

SCHOLARLY PAPERS

6

DOWNLOADS

955

SSRN CITATIONS

5

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

The Predictive Power of Equilibrium Exchange Rate Models

Number of pages: 43 Posted: 10 Jan 2020
European Central Bank (ECB), Bank for International Settlements (BIS), European University Institute and Warsaw School of Economics (SGH)
Downloads 620 (77,928)
Citation 1

Abstract:

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equilibrium exchange rate models, forecasting, mean reversion, panel data

2.

Boosting Carry with Equilibrium Exchange Rate Estimates

ECB Working Paper No. 2022/2731
Number of pages: 41 Posted: 27 Sep 2022
Warsaw School of Economics (SGH), FernUniversität in Hagen, European Central Bank (ECB) and Warsaw School of Economics (SGH)
Downloads 129 (388,831)

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carry trade, equilibrium exchange rate, trading strategies

3.

Common Factors and the Dynamics of Cereal Prices. A Forecasting Perspective

CAMA Working Paper No. 47/2020
Number of pages: 21 Posted: 05 May 2020
Marek Kwas, Alessia Paccagnini and Michał Rubaszek
Warsaw School of Economics (SGH), University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Warsaw School of Economics (SGH)
Downloads 112 (434,840)
Citation 1

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Cereal prices, Forecasting, Factor models, Autoregressive models

4.

Which Uncertainty Measure is Most Informative? A Time-Varying Connectedness Perspective

Number of pages: 38 Posted: 15 Feb 2023
Karol Szafranek, Michał Rubaszek and Gazi Salah Uddin
National Bank of Poland, Warsaw School of Economics (SGH) and Linkoping University - Department of Management and Engineering Division
Downloads 41 (741,022)

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Economic uncertainty, Geopolitical uncertainty, TVP-VAR-SV model, Connectedness, Spillovers

5.

Are European Natural Gas Markets Connected? A Time-Varying Spillovers Analysis

Number of pages: 29 Posted: 18 Jun 2022
Cracow University of Economics, Warsaw School of Economics (SGH), National Bank of Poland and Cracow University of Economics
Downloads 32 (815,171)
Citation 2

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spillover effect, market integration, European natural gas market, TVP-VAR-SV model

6.

How Immune is the Connectedness of European Natural Gas Markets to Exceptional Shocks?

Number of pages: 43 Posted: 14 Jun 2023
National Bank of Poland, Cracow University of Economics, Warsaw School of Economics (SGH) and Cracow University of Economics
Downloads 21 (902,280)

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uropean natural gas market, TVP-VAR-SV model, time and frequency connectedness, Russian invasion of Ukraine.

Other Papers (1)

Total Downloads: 79
1.

Are European Natural Gas Markets Connected? A Time-Varying Spillovers Analysis

Resources Policy, Vol. 79, 2022
Number of pages: 29 Posted: 04 Apr 2022 Last Revised: 03 Sep 2023
Cracow University of Economics, Warsaw School of Economics (SGH), National Bank of Poland and Cracow University of Economics
Downloads 79

Abstract:

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spillover effect, market integration, European natural gas market, TVP-VAR-SV model