Analysis of extreme events on emerging capital markets

Kiss, Gábor Dávid and Dudás, László: Analysis of extreme events on emerging capital markets. Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009. pp. 517-531. (2010)

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Abstract

This study deals with the statistical methods of contagion-effects on emerging capital markets. After fitting probability distribution on the empirical data, and cross-market correlation sensibility test were used on time series (2002-2009) of Hungarian, Polish Russian and US government bond, stock and currency markets to study their behavior under extreme and normal circumstances. The aim of this analysis is to identify the possible differences between emerging and developed capital markets to investigate the validity of economic axioms according to the relation of bond, stock and currency markets on the emerging markets.

Item Type: Article
Journal or Publication Title: Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009
Date: 2010
Page Range: pp. 517-531
ISBN: 978-963-06-9558-9
Uncontrolled Keywords: Tőkepiac, Statisztikai módszer - adatelemzés
Additional Information: Bibliogr.: p. 529-531. ; összefoglalás angol nyelven
Date Deposited: 2019. Apr. 25. 08:51
Last Modified: 2019. Apr. 25. 08:51
URI: http://acta.bibl.u-szeged.hu/id/eprint/57822

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