Detail výsledku

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. Interdependence among Capital Markets of Germany, Poland and Baltic States - Application of DCC-GARCH Model. In Managing and Modelling of Financial Risks 2016. MMFR. Ostrava, Cze Republic: VŠB, Technical University of Ostrava, Faculty of Economics, 2017. p. 28-36. ISBN: 978-80-248-3994-3.
Typ
článek ve sborníku konference
Jazyk
anglicky
Autoři
Balcerzak Adam Przemyslaw, Dr. hab., Ph.D.
Fałdziński Marcin, FP (FP)
Meluzín Tomáš, prof. Ing., Ph.D., ÚE (FP)
Pietrzak Michał Bernard, FP (FP)
Zinecker Marek, prof. Ing., Ph.D., ÚE (FP)
Abstrakt

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.

Klíčová slova

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

Rok
2017
Strany
28–36
Sborník
Managing and Modelling of Financial Risks 2016
Řada
MMFR
Vydání
1
Konference
Managing and Modelling of Financial Risks 2016
ISBN
978-80-248-3994-3
Vydavatel
VŠB, Technical University of Ostrava, Faculty of Economics
Místo
Ostrava, Cze Republic
UT WoS
000495792700003
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"
}
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