Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi

• Authors: Czapkiewicz Anna , Jamer Paweł

Title variants

EN

An influence analysis of volatility indices on interdependence changes between selected financial markets

• Languages of publication: PL

Abstracts

EN

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.

Keywords

EN

hidden Markov model; time-varying transition probability; stock exchange; volatility indices; interdependence analysis

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2016
• Issue: 3 (53)
• Pages: 87-101

Contributors

author

Czapkiewicz Anna

author

Jamer Paweł

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