Detail publikace

Application of DCC-Garch Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany

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

Originální název

Application of DCC-Garch Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

macroeconomics; interdependences among capital markets; conditional variance and correlations; DCC-GARCH model

Autoři

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

Vydáno

2. 2. 2017

Nakladatel

Slovak Society for Operations Research

Místo

Bratislava

ISBN

978-80-972328-0-1

Kniha

Quantitative Methods in Economics (Multiple Criteria Decision Making XVIII)

Edice

Letra Interactive

Číslo edice

1

Strany od

416

Strany do

421

Strany počet

6

BibTex

@inproceedings{BUT135508,
  author="Marek {Zinecker} and Adam Przemyslaw {Balcerzak} and Marcin {Fałdziński} and Tomáš {Meluzín} and Michał Bernard {Pietrzak}",
  title="Application of DCC-Garch Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany",
  booktitle="Quantitative Methods in Economics (Multiple Criteria Decision Making XVIII)",
  year="2017",
  series="Letra Interactive",
  number="1",
  pages="416--421",
  publisher="Slovak Society for Operations Research",
  address="Bratislava",
  isbn="978-80-972328-0-1"
}