Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

• Authors: Czapkiewicz Anna , Jamer Paweł

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.

Keywords

EN

DCC; Copula-GARCH; hidden Markov model; stock exchange; dependence survey

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2015
• Issue: 2 (48)
• Pages: 100-113

Contributors

author

Czapkiewicz Anna

author

Jamer Paweł

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