The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models

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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Year of publication:	2009
Authors:	Chruscinski, Tomasz
Published in:	Dynamic Econometric Models. - Uniwersytet Mikolaja Kopernika. - Vol. 9.2009, p. 111-118
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	Multivariate GARCH Model \| independence analysis \| stock exchange \| exchange rate

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

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