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Chlebus, Marcin [Author]

One-day-ahead forecast of state of turbulence based on today's economic situation

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2018

Published in: Equilibrium ; 13(2018), 3 vom: Sept., Seite 357-389
Chlebus, Marcin [Author] ; Uniwersytet Warszawski Wydział Nauk Ekonomicznych

EWS-GARCH : new regime switching approach to forecast value-at-risk

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2016

Published in: Working papers ; 20160006
Chlebus, Marcin [Author] ; Uniwersytet Warszawski Wydział Nauk Ekonomicznych

One-day prediction of state of turbulence for portfolio : models for binary dependent variable

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2015

Published in: Working papers ; 20160001
Lis, Szymon [Author]; Chlebus, Marcin [Author]

Combining forecasts? : keep it simple

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2023

Published in: Central European economic journal ; 10(2023), 57 vom: Jan., Seite 343-370
Chlebus, Marcin [Author]; Nowak, Artur [Author]

From alchemy to analytics : unleashing the potential of technical analysis in predicting noble metal price movement

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2023

Published in: Working papers ; 2023,13
Lis, Szymon [Author]; Chlebus, Marcin [Author]

Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2021

Published in: Working papers ; 2021,11
Schiffers, Aleksander [Author]; Chlebus, Marcin [Author]

The effectiveness of Value-at-Risk models in various volatility regimes

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2021

Published in: Working papers ; 2021,28
Buczyński, Mateusz [Author]; Chlebus, Marcin [Author]

GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2021

Published in: Working papers ; 2021,8
Woźniak, Michał [Author]; Chlebus, Marcin [Author]

HCR & HCR-GARCH - novel statistical learning models for value at risk estimation

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2021

Published in: Working papers ; 2021,10
Borowski, Piotr [Author]; Chlebus, Marcin [Author]

Machine learning in the prediction of flat horse racing results in Poland

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2021

Published in: Working papers ; 2021,13
Lewandowski, Michał [Author]; Chlebus, Marcin [Author]

Predicting football outcomes from Spanish league using machine learning models

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2021

Published in: Working papers ; 2021,22
Szubzda, Filip [Author]; Chlebus, Marcin [Author]

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

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2019

Published in: Central European economic journal ; 6(2019), 53 vom: Jan., Seite 70-85
Chlebus, Marcin [Author]; Osika, Zuzanna [Author]

Comparison of tree-based models performance in prediction of marketing campaign results using Explainable Artificial Intelligence tools

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2020

Published in: Working papers ; 2020,15
Barziy, Illya [Author]; Chlebus, Marcin [Author]

HRP performance comparison in portfolio optimization under various codependence and distance metrics

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2020

Published in: Working papers ; 2020,21
Heba, Mateusz [Author]; Chlebus, Marcin [Author]

Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2020

Published in: Working papers ; 2020,30
Stelmach, Marek [Author]; Chlebus, Marcin [Author]

Novel multilayer stacking framework with weighted ensemble approach for multiclass credit scoring problem application

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2020

Published in: Working papers ; 2020,8
Buczyński, Mateusz [Author]; Chlebus, Marcin [Author] ; Uniwersytet Warszawski Wydział Nauk Ekonomicznych

Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2019

Published in: Working papers ; 2019,12
Buczyńsk, Mateusz [Author]; Chlebus, Marcin [Author]

Size does matter : a study on the required window size for optimal quality market risk models

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2020

Published in: Working papers ; 2020,9
Kłosok, Marta [Author]; Chlebus, Marcin [Author]

Towards better understanding of complex machine learning models using explainable Artificial Intelligence (XAI) : case of Credit Scoring modelling

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2020

Published in: Working papers ; 2020,18
Buczyński, Mateusz [Author]; Chlebus, Marcin [Author]

Comparison of semi-parametric and benchmark value-at-risk models in several time periods with different volatility levels

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2018

Published in: E-Finanse ; 14(2018), 2, Seite 67-82

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