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- W123075398 abstract "This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements. DCC-model was used to control for correlation change over time. Determination of extremely high correlations by using a range for unconditional correlations and the MS(3) switching model yields similar results regarding conclusions about the occurrence of the process of contagion in a market. Conclusions about contagion are, however, made at a higher significance level in the case of the switching model." @default.
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- W123075398 date "2013-12-12" @default.
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- W123075398 title "Wyznaczanie czasu zarażania rynków kapitałowych na podstawie modelu przełącznikowego" @default.
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- W123075398 doi "https://doi.org/10.12775/dem.2013.004" @default.
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