Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany
Marek Zinecker (),
Adam Balcerzak (),
Marcin Faldzinski (),
Tomas Meluzin () and
Michal Pietrzak ()
Additional contact information
Marek Zinecker: Brno University of Technology, Czech Republic
Marcin Faldzinski: Nicolaus Copernicus University, Poland
Tomas Meluzin: Brno University of Technology, Czech Republic
Chapter 67 in Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, 2016, vol. 1, pp 418-423 from Institute of Economic Research
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.
Keywords: interdependences among capital markets; conditional variance and correlations; DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: G15 C58 (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pes:ecchap:12
Access Statistics for this chapter
More chapters in Chapters from Institute of Economic Research Contact information at EDIRC.
Series data maintained by Adam P. Balcerzak ().