| dc.contributor.author | Karkowska, Renata | |
| dc.date.accessioned | 2015-12-10T11:34:06Z | |
| dc.date.available | 2015-12-10T11:34:06Z | |
| dc.date.issued | 2015 | |
| dc.identifier.issn | 0208-6018 | |
| dc.identifier.uri | http://hdl.handle.net/11089/15377 | |
| dc.description.abstract | The object of the study is identification of the bond yields volatility in selected European countries, during the crisis of public finances of Greece from 2010 to 2013. For this purpose the GARCH (1.1) model was used. The specific aim of the study is determination of the so-called contagion effect in treasury bonds market. The analysis was conducted in two trials: 1) for the countries of Central and Eastern Europe, represented by the Czech Republic and Poland, 2) for developed countries – Austria and France. | pl_PL |
| dc.description.abstract | Celem badania jest identyfikacja zmienności spreadu kredytowego obligacji w wybranych krajach europejskich, w czasie kryzysu finansów publicznych Grecji w latach 2010–2013. W badaniu wykorzystano model GARCH (1.1). Szczególnym celem badania jest ustalenie: czy na rynku obligacji skarbowych mamy do czynienia z efektem zarażania? Analizę przeprowadzono w dwóch próbach: 1) dla krajów Europy Środkowej i Wschodniej, reprezentowanej przez Czechy i Polskę, 2) w krajach rozwiniętych – w Austrii i Francji. | pl_PL |
| dc.language.iso | en | pl_PL |
| dc.publisher | Wydawnictwo Uniwersytetu Łódzkiego | pl_PL |
| dc.relation.ispartofseries | Acta Universitatis Lodziensis. Folia Oeconomica;314 | |
| dc.subject | volatility | pl_PL |
| dc.subject | treasury bonds market | pl_PL |
| dc.subject | credit spread | pl_PL |
| dc.subject | GARCH Model | pl_PL |
| dc.subject | zmienność | pl_PL |
| dc.subject | rynek obligacji skarbowych | pl_PL |
| dc.subject | spread kredytowy | pl_PL |
| dc.subject | model GARCH | pl_PL |
| dc.title | The Application of GARCH (1.1) Model for Measuring Shocks Transmission in Bond Market | pl_PL |
| dc.title.alternative | Zastosowanie modelu GARCH (1.1) do szacowania transmisji szoków na rynku obligacji | pl_PL |
| dc.type | Article | pl_PL |
| dc.rights.holder | © Copyright by Uniwersytet Łódzki, Łódź 2015 | pl_PL |
| dc.page.number | [53]-60 | pl_PL |
| dc.contributor.authorAffiliation | Faculty of Management, University of Warsaw | pl_PL |
| dc.identifier.eissn | 2353-7663 | |
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| dc.identifier.doi | 10.18778/0208-6018.314.07 | |
| dc.relation.volume | 3 | pl_PL |
