Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany
Year of publication: |
2016
|
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Authors: | Zinecker, Marek ; Balcerzak, Adam P. ; Faldzinski, Marcin ; Pietrzak, Michal Bernad ; Meluzin, Tomáš |
Publisher: |
Toruń : Institute of Economic Research (IER) |
Subject: | interdependences among capital markets | conditional variance and correlations | DCC-GARCH model |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/219787 [Handle] RePEc:pes:wpaper:2016:no4 [RePEc] |
Classification: | G15 - International Financial Markets ; c58 |
Source: |
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