PL EN


Journal
2015 | 2 (48) | 100-113
Article title

Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

Content
Title variants
EN
Dynamics of interdependence between Warsaw Stock Exchange and other financial markets
Languages of publication
PL
Abstracts
EN
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.
Journal
Year
Issue
Pages
100-113
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-1f7474ee-a3f0-4bf0-9706-6371883d91d9
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