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Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi

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Czapkiewicz A., Jamer P.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2016
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issue 3 (53)
87-101
EN
The study of interdependence and the strength of the relationship between finan-cial time series is a quite important area in the financial literature. Hence we discussed the relationships between the main stock indices. The multivariate distributions of returns we modelled basing on copula functions approach. In order to obtain some dynamics of multi-variate distributions we applied the hidden Markov chain. Additionally we assumed that the transition matrix of the Markov chain was dependent on some exogenous variables. The study shows that the volatility indices VIX and VSTOXX which were taken as exogenous variables improved model efficiency.
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Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

100%
Czapkiewicz A., Jamer P.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2015
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issue 2 (48)
100-113
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.
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