- Tytuł:
-
Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi
Dynamics of interdependence between Warsaw Stock Exchange and other financial markets - Autorzy:
-
Czapkiewicz, Anna
Jamer, Paweł - Powiązania:
- https://bibliotekanauki.pl/articles/425306.pdf
- Data publikacji:
- 2015
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
DCC
Copula-GARCH
hidden Markov model
stock exchange
dependence survey - Opis:
- The aim of this article was the search of the dynamic of dependencies between WSE and other countries coming from Europe, America and Asia. The two-dimensional time series has been modeled by multidimensional GARCH process with dynamic condi-tional correlation or by Markov-switching Copula-GARCH model. The analysis confirms the claim that dependences between financial markets are higher in a period of crisis than during the prosperity time. The dynamic of relationships between Polish market and Euro-pean markets is bigger than the dynamic of relationships between Polish market and Ameri-can or Asian markets.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2015, 2 (48); 100-113
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki
Artykuł