Modelling the Dependencies between the Returns on the Warsaw Stock Indices Using Time Varying Copulas

Ryszard Doman ()
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Ryszard Doman: Adam Mickiewicz University, Poznań, Poland

Chapter 6 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 83-97 from University of Lodz

Abstract: In Chapter 6, R. Doman investigated the conditional dependence between financial returns by applying parametric copula models switched according to some homogeneous Markov chain. The method has been applied to financial returns and the findings improved the understanding of conditional dependence dynamics and appeared to be superior to a simple linear correlation.

Keywords: Warsaw Stock Exchange; Time varying copulas; Conditional dependence (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2010:n:08:ch:06:mon

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