Publication detail

Interdependence among Capital Markets of Germany, Poland and Baltic States - Application of DCC-GARCH Model

BALCERZAK, A. FAŁDZIŃSKI, M. MELUZÍN, T. PIETRZAK, M. ZINECKER, M.

Original Title

Interdependence among Capital Markets of Germany, Poland and Baltic States - Application of DCC-GARCH Model

Type

conference paper

Language

English

Original Abstract

The growing interdependencies among capital markets are becoming significant factor affecting process of risk management both at macro and microeconomic level. Thus, the aim of the article is the analysis of interdependencies among capital markets of Germany, Poland and Baltic States. In order to measure the interdependencies DCC-GARCH model was applied. The research was conducted for the years 2004-2015. The capital market of Germany was taken as the one that has the biggest influence on the analysed Central and Eastern European markets. The conducted research enabled to determine the different nature of the interdependencies among the capital markets of Baltic States and Poland on one side and German capital market on the other side.

Keywords

capital market, conditional variance, conditional correlation, DCC-GARCH model, integration

Authors

BALCERZAK, A.; FAŁDZIŃSKI, M.; MELUZÍN, T.; PIETRZAK, M.; ZINECKER, M.

Released

22. 2. 2017

Publisher

VŠB, Technical University of Ostrava, Faculty of Economics

Location

Ostrava, Cze Republic

ISBN

978-80-248-3994-3

Book

Managing and Modelling of Financial Risks 2016

Edition

MMFR

Edition number

1

Pages from

28

Pages to

36

Pages count

9

BibTex

@inproceedings{BUT133710,
  author="Adam Przemyslaw {Balcerzak} and Marcin {Fałdziński} and Tomáš {Meluzín} and Michał Bernard {Pietrzak} and Marek {Zinecker}",
  title="Interdependence among Capital Markets of Germany, Poland and Baltic States - Application of DCC-GARCH Model",
  booktitle="Managing and Modelling of Financial Risks 2016",
  year="2017",
  series="MMFR",
  number="1",
  pages="28--36",
  publisher="VŠB, Technical University of Ostrava, Faculty of Economics",
  address="Ostrava, Cze Republic",
  isbn="978-80-248-3994-3"
}