Search scope: All publications
Results for “GARCH model”: 4.
Article 2018
Authors / editors: Ryszard Węgrzyn
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
Purpose – After the bear market associated with the recent financial crisis, it was possible to observe the reversal of trends and the beginning of the long-term bull market in the first months of 2009. The purpose of the article is to conduct and present a comparative analysis o…
DOI: 10.18276/frfu.2018.94/2-10 · ISSN: 2450-7741
Article 2017
Authors / editors: Blanka Łęt
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
Purpose – The goal of the paper is to examine the dependencies between the financial instruments related to crude oil and natural gas markets. In this study, we also verify whether the listings of examined ETFs have the same dynamics and properties as original benchmarks and whet…
DOI: 10.18276/frfu.2017.86-26 · ISSN: 2450-7741
Article 2016
Authors / editors: Adam P. Balcerzak, Marcin Fałdziński, Michał Bernard Pietrzak, Tomas Meluzin, Marek Zinecker
Published in: Studia i Prace WNEiZ US
Increasing globalization contributes to the growth of the interdependencies between capital markets. Therefore, the identification of the linkages between capital markets and the analysis of changes in the strength of these relationships over time, can be the source of an importa…
DOI: 10.18276/sip.2016.45/1-01 · ISSN: 2450-7733
Article 2016
Authors / editors: Anna Janiga-Ćmiel
Published in: Ekonomiczne Problemy Usług
The paper examines the development of Polish information society as well as the information society of selected countries in the period from 2005 to 2015 (Luxembourg, Poland, Bulgaria, Germany, Greece). The theory of the construction of a full-factor multivariate GARCH model and …
DOI: 10.18276/epu.2016.123-21 · ISSN: 1896-382X