Anna Rokicka

Anna Rokicka studied financial engineering at the Poznan University of Economics and Business and obtained master's degree in econometrics at the University of Warsaw. Her fields of interest are: financial econometrics, risk measures and financial risk management.

Articles by Anna Rokicka

Original research

Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.

08 Apr 2021