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

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  • Tomasz Chruscinski

    (Nicolaus Copernicus University in Torun)

Abstract

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.

Suggested Citation

  • Tomasz Chruscinski, 2009. "The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 111-118.
    • Handle: RePEc:cpn:umkdem:v:9:y:2009:p:111-118
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    References listed on IDEAS

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    1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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