An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries
The paper looks at the issues related to the research on and assessment of the contagion effect. Based on several examinations of two selected EU countries, Poland paired with one of the EU member states; it presents the interaction between their economic development. A DCC-GARCH model constructed f...
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| Format: | Article |
| Language: | English |
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Sciendo
2016-12-01
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| Series: | Folia Oeconomica Stetinensia |
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| Online Access: | https://doi.org/10.1515/foli-2016-0029 |