- Tytuł:
-
Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi
An influence analysis of volatility indices on interdependence changes between selected financial markets - Autorzy:
-
Czapkiewicz, Anna
Jamer, Paweł - Powiązania:
- https://bibliotekanauki.pl/articles/425098.pdf
- Data publikacji:
- 2016
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
hidden Markov model
time-varying transition probability
stock exchange
volatility indices
interdependence analysis - Opis:
- The study of interdependence and the strength of the relationship between finan-cial time series is a quite important area in the financial literature. Hence we discussed the relationships between the main stock indices. The multivariate distributions of returns we modelled basing on copula functions approach. In order to obtain some dynamics of multi-variate distributions we applied the hidden Markov chain. Additionally we assumed that the transition matrix of the Markov chain was dependent on some exogenous variables. The study shows that the volatility indices VIX and VSTOXX which were taken as exogenous variables improved model efficiency.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2016, 3 (53); 87-101
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki
Artykuł