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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Online Access: | https://doi.org/10.1515/foli-2016-0029 |
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doaj-04193f7a899243bfbe97c847ef5fe3ae2021-09-05T20:45:02ZengSciendoFolia Oeconomica Stetinensia1898-01982016-12-0116211913410.1515/foli-2016-0029foli-2016-0029An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU CountriesJaniga-Ćmiel Anna0University of Economics in Katowice, Faculty of Management, Department of Statistics, Econometrics and Mathematics, 1 Maja 50, 40-287 Katowice, PolandThe 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 for the purpose of the study was used to generate a covariance matrix Ht, which enabled the calculation of correlation matrices Rt. The resulting variance vectors were used to present a linear correlation model on which a further analysis of the contagion effect was based. The aim of the study was to test a contagion effect among selected EU countries in the years 2000–2014. The transmission channel under study was the GDP of a selected country. The empirical studies confirmed the existence of the contagion effect between the economic development of the Polish and selected EU economies.https://doi.org/10.1515/foli-2016-0029garch modelcontagion effecteconomic developmentc01c32c51 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Janiga-Ćmiel Anna |
spellingShingle |
Janiga-Ćmiel Anna An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries Folia Oeconomica Stetinensia garch model contagion effect economic development c01 c32 c51 |
author_facet |
Janiga-Ćmiel Anna |
author_sort |
Janiga-Ćmiel Anna |
title |
An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries |
title_short |
An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries |
title_full |
An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries |
title_fullStr |
An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries |
title_full_unstemmed |
An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries |
title_sort |
analysis of conditional dependencies of covariance matrices for economic processes in selected eu countries |
publisher |
Sciendo |
series |
Folia Oeconomica Stetinensia |
issn |
1898-0198 |
publishDate |
2016-12-01 |
description |
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 for the purpose of the study was used to generate a covariance matrix Ht, which enabled the calculation of correlation matrices Rt. The resulting variance vectors were used to present a linear correlation model on which a further analysis of the contagion effect was based. The aim of the study was to test a contagion effect among selected EU countries in the years 2000–2014. The transmission channel under study was the GDP of a selected country. The empirical studies confirmed the existence of the contagion effect between the economic development of the Polish and selected EU economies. |
topic |
garch model contagion effect economic development c01 c32 c51 |
url |
https://doi.org/10.1515/foli-2016-0029 |
work_keys_str_mv |
AT janigacmielanna ananalysisofconditionaldependenciesofcovariancematricesforeconomicprocessesinselectedeucountries AT janigacmielanna analysisofconditionaldependenciesofcovariancematricesforeconomicprocessesinselectedeucountries |
_version_ |
1717784598118662144 |