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Dynamic linkages in the pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD) : how do they change during a day?

Doman, Małgorzata; Doman, Ryszard - In: Central European journal of economic modelling and … 6 (2014) 1, pp. 33-56

Persistent link: https://www.econbiz.de/10010503066

Dynamic linkages between stock markets : the effects of crises and globalization

Doman, Małgorzata; Doman, Ryszard - In: Portuguese economic journal 12 (2013) 2, pp. 87-112

Persistent link: https://www.econbiz.de/10009780259

The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market

Doman, Malgorzata; Doman, Ryszard - In: Dynamic Econometric Models 11 (2011), pp. 73-86

The paper addresses the question of how the exchange rate dynamics affects the analysis of linkages between national stock markets. We consider two ways of tackling the problem. The first one consists in denominating the analyzed quotations in the same currency. The second deals with a direct...

Persistent link: https://www.econbiz.de/10010875604

Dynamic linkages between stock markets: the effects of crises and globalization

Doman, Małgorzata; Doman, Ryszard - In: Portuguese Economic Journal 12 (2013) 2, pp. 87-112

time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing …

Persistent link: https://www.econbiz.de/10011002307

Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?

Doman, Małgorzata; Doman, Ryszard - In: Central European Journal of Economic Modelling and … 6 (2014) 1, pp. 33-56

-regime Markov regime switching copula models, and the strength of the linkages is described using dynamic Spearman’s rho and …

Persistent link: https://www.econbiz.de/10010837042

Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction

Doman, Ryszard - In: Dynamic Econometric Models 10 (2010), pp. 31-42

MGARCH and standard dynamic copula models are often of little usefulness in such cases. In this paper, we apply a methodology … called the pair-copula decomposition to model the joint conditional distribution of the returns on stocks constituting the …

Persistent link: https://www.econbiz.de/10009001708