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The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
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| Creator |
Chruściński, Tomasz; Nicolaus Copernicus University in Toruń
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| Subject |
Multivariate GARCH Model, independence analysis, stock exchange, exchangerate
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| Description |
In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented results developed an earlier study of World Stock Exchange classification. These stock exchanges will be further analysed according to their interaction.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2009-07-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.011
10.12775/DEM.2009.011 |
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| Source |
Dynamic Econometric Models; Vol 9 (2009); 111-118
Dynamic Econometric Models; Vol 9 (2009); 111-118 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.011/4044
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