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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19034| Title: | The Warsaw Stock Exchange index WIG : modelling and forecasting |
| Keywords: | C5 C2 G1 C6 ddc:330 Warsaw Stock Exchange stock index GARCH model forecasting Aktienindex Börsenkurs Internationaler Preiszusammenhang Prognoseverfahren Schätzung Polen USA EU-Staaten |
| Issue Date: | 16-Oct-2013 |
| Description: | In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European markets in explaining the WSE index WIG. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19034 |
| Other Identifiers: | http://hdl.handle.net/10419/19034 ppn:503703001 |
| Appears in Collections: | EconStor |
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