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2015 | 2 (48) | 100-113

Article title

Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi


Title variants

Dynamics of interdependence between Warsaw Stock Exchange and other financial markets

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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.



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