Arbeitspapier
Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany
The phenomenon of growing capital market linkages is a significant exogenous factor affecting the effectiveness of national economic policies and risk management processes in enterprises. As a result the identification of interdependencies among capital markets is important both from the macro and microeconomic perspective. In this context the main aim of this article is to examine the relations among capital markets of Poland, Czech Republic and Germany. In the research DCC-GARCH model with the t-student conditional distribution was applied. The analysis was conducted for the years 1997-2015. The research findings confirmed significant interdependencies among analysed capital markets, which were evaluated here by conditional correlations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Institute of Economic Research Working Papers ; No. 4/2016
- Klassifikation
-
Wirtschaft
International Financial Markets
Financial Econometrics
- Thema
-
interdependences among capital markets
conditional variance and correlations
DCC-GARCH model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Zinecker, Marek
Balcerzak, Adam P.
Faldzinski, Marcin
Pietrzak, Michal Bernad
Meluzin, Tomáš
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute of Economic Research (IER)
- (wo)
-
Toruń
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Zinecker, Marek
- Balcerzak, Adam P.
- Faldzinski, Marcin
- Pietrzak, Michal Bernad
- Meluzin, Tomáš
- Institute of Economic Research (IER)
Entstanden
- 2016
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