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Application Of Dcc-Garch Model For Analysis Of Interrelations Among Capital Markets Of Poland, Czech Republic And Germany

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dc.contributor.author Zineker, Marek
dc.contributor.author Balcerzak, Adam P.
dc.contributor.author Fałdziński, Marcin
dc.contributor.author Meluzín, Tomáš
dc.contributor.author Pietrzak, Michał Bernard
dc.date.accessioned 2016-08-16T09:28:07Z
dc.date.available 2016-08-16T09:28:07Z
dc.date.issued 2016
dc.identifier.citation Proceedings of the International Scientific Conference Quantitative Methods In Economics (Multiple Criteria Decision Making XVIII), Vrátna, Slovakia,25th May - 27th May 2016,pp. 418 - 423
dc.identifier.isbn 978-80-972328-0-1
dc.identifier.uri http://repozytorium.umk.pl/handle/item/3718
dc.description.abstract 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.
dc.language.iso eng
dc.publisher The Slovak Society for Operations Research Department of Operations Research and Econometrics Faculty of Economic Informatics, University of Economics in Bratislava
dc.rights Attribution-NonCommercial-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/pl/
dc.subject interdependences among capital markets
dc.subject conditional variance and correlations
dc.subject DCC-GARCH model
dc.title Application Of Dcc-Garch Model For Analysis Of Interrelations Among Capital Markets Of Poland, Czech Republic And Germany
dc.type info:eu-repo/semantics/bookPart


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