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Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

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Czapkiewicz A., Jamer P.
Econometrics. Ekonometria. Advances in Applied Data Analytics
|
2015
|
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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