Description

• Title:
  The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
• Creator:
  Chruściński, Tomasz
• 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.
• Object availability:
  free access
• Date:
  2009.07.18
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 9 (2009); 111-118;
  Dynamic Econometric Models; Tom 9 (2009); 111-118;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2009.011/4044
• Subject:
  Multivariate GARCH Model;
  independence analysis;
  stock exchange;
  exchangerate
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2009.011
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text