Marcin Fałdziński, PhD is an assistant professor in the Department of Econometrics and Statistics at Nicolaus Copernicus University in Torun, Poland. He specializes in extreme value theory and its application in finance and quantitative risk management. He is the author and coauthor of over 20 research journal articles. He participated in research projects with support from the Ministry of Science and Higher Education in Poland, National Science Centre and the European Social Fund. He published the monograph titled Extreme Value Theory in Financial Econometrics.
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
This study utilizes the extreme value theory (EVT) approach to compare the performance of a wide variety of range-based volatility estimators in the analysis of causality in risk between emerging and developed markets.