PL EN


Journal
2016 | 3 (53) | 87-101
Article title

Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi

Content
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.
Journal
Year
Issue
Pages
87-101
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-067ee117-3026-4a1c-afa1-9f6c93b9fda1
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