Warunkowa dynamiczna korelacja pomiędzy głównymi europejskimi indeksami giełdowymi

• Authors: Gurgul Henryk , Mitterer Christoph , Syrek Robert

Title variants

EN

Dynamic Conditional Correlations Between Main European Stock Indexes

• Languages of publication: PL

Abstracts

PL

Omówiono zmienność korelacji warunkowej pomiędzy indeksami giełdowymi: FTSE; CAC; DAX. Przedstawiono model dynamicznej korelacji warunkowej DCC oraz model GARCH. Zanalizowano wyniki badań empirycznych.

EN

In this paper the results of dynamic conditional correlation and rolling correlation between main European indexes are presented. It has been observed that market crashes and financial crises often happen in different countries during about the same time period, even if the dependency measured by correlation is very low between these markets. Researchers have raised the question of different dependence structure between markets in hectic and quiet phase of their development. This problem can be taken into account by mean of rolling and more adequately conditional dynamic correlation. (original abstract)

Keywords

PL

Indeks giełdowy; Modele ekonometryczne; Model GARCH

EN

Stock market indexes; Econometric models; GARCH model

• Publisher: Wydawnictwo WSEI Kraków
• Journal: Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
• Year: 2008
• Issue: 4
• Pages: 89-96

Contributors

author

Gurgul Henryk

• Wyższa Szkoła Ekonomii i Informatyki w Krakowie

author

Mitterer Christoph

• Karl-Franzens-Universität Graz, Germany

author

Syrek Robert

• Wyższa Szkoła Ekonomii i Informatyki w Krakowie

References

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