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2014 | 192 | 9-20

Article title

Analysis of Tail-Dependence Structure in European Financial Markets

Content

Title variants

PL
Analiza struktury zależności w ogonach rozkładu na przykładzie wybranych europejskich rynków finansowych

Languages of publication

EN

Abstracts

PL
W artykule przeprowadzono analizę empiryczną ekstremalnych zależności pomiędzy wybranymi indeksami z rynków kapitałowych Europy Środkowej i Wschodniej, a mianowicie giełdowych polskiego WIG20, węgierskiego BUX, rosyjskiego RTS, czeskiego PX50. Ekstremalna zależność została zdefiniowana jako zależność pomiędzy bardzo dużymi stopami zwrotu. Głównym celem było przedstawienie właściwej procedury analizy struktury zależności pomiędzy wybranymi instrumentami finansowymi.

Year

Volume

192

Pages

9-20

Physical description

Contributors

References

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Document Type

Publication order reference

Identifiers

ISSN
2083-8611

YADDA identifier

bwmeta1.element.desklight-8f7c89ba-6b16-42bd-a3d0-0ec9cd1dbaf1
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