Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Managerial Economics

Years help

  1. 1 2014

Authors help

  1. 1 Gurgul H.

  2. 1 Syrek R.

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  R regular copulas, dependence
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Content available remote

The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange

100%
Gurgul H., Syrek R.
Managerial Economics
|
2014
|
vol. 15
|
issue 2
149-164
EN
Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03.01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means of Regular Vine Copulas. The application of these copulas allowed us to identify the pairwise structure of the dependence of subindexes under study. The results confirm the leading role of the banking sector in the Polish economy. The dependence structure of the WIG-banking subindex and other subindexes is, in general, asymmetrical. The links between returns of the subindexes are more pronounced in the left tails; i.e., in the bear phase of financial markets. This study suggests the usefulness of Regular Vine Copulas in analyzing dependence structures of a number of financial time series.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.