Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets

Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets

The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks...

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Bibliographic Details
Main Authors: Michał Bernard Pietrzak, Marcin Fałdziński, Adam P. Balcerzak, Tomáš Meluzín, Marek Zinecker
Format: Article
Language:English
Published: Centre of Sociological Research, Szczecin, Poland 2017-06-01
Series:Economics & Sociology
Subjects:
cointegration analysis
DCC-GARCH model
conditional variance
conditional correlation
short-term shocks
Online Access:http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets

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http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets

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