Kiss Gábor Dávid and Dudás László: Analysis of extreme events on emerging capital markets.
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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: | Conference or Workshop Item |
|---|---|
| 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 |
| ISBN: | 978-963-06-9558-9 |
| Page Range: | pp. 517-531 |
| Related URLs: | http://acta.bibl.u-szeged.hu/57418/ |
| Uncontrolled Keywords: | Tőkepiac, Statisztikai módszer - adatelemzés |
| Additional Information: | Bibliogr.: p. 529-531. ; összefoglalás angol nyelven |
| Date Deposited: | 2019. Apr. 25. 08:51 |
| Last Modified: | 2022. Nov. 08. 13:09 |
| URI: | http://acta.bibl.u-szeged.hu/id/eprint/57822 |
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