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Regime-dependent relationships among stock markets in Frankfurt, Vienna and Warsaw [Elektronski vir]Gurgul, Henryk ; Machno, ArturRazprava analizira kratkoročno povezavo med nemškimi, avstrijskimi in poljskimi borznimi indeksi na podlagi vektorskega avtoregresijskega modela Markovove spremembe režima (MSVAR). Glavno orodje je ... funkcija impulznega odziva in kaže na dve fazi borze. Rezultati so uporabni za vlagatelje. Odzivi na motnje so zapleteni in odvisni od faze trga ter obravnavanega para spremenljivk. Obstaja tudi teoretična analiza msvar modela. Teoretične brezpogojne značilnosti procesa, obravnavane z modelom MSVAR, so predstavljene skupaj s tehnikami izračuna, ki lahko veljajo tudi za druge modele.Source: Managing global transitions [Elektronski vir] : international research journal. - ISSN 1854-6935 (Vol. 13, no. 1, spring 2015, str. 3-25)Type of material - e-articlePublish date - 2015Language - englishCOBISS.SI-ID - 1537418180
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Gurgul, Henryk | ![]() |
Machno, Artur | ![]() |
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