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

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F17%3APU123572" target="_blank" >RIV/00216305:26510/17:PU123572 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Quantitative Methods in Economics (Multiple Criteria Decision Making XVIII)

ISBN

978-80-972328-0-1

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

416-421

Název nakladatele

Slovak Society for Operations Research

Místo vydání

Bratislava

Místo konání akce

Vrátna

Datum konání akce

25. 5. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000394099300068