| dc.contributor.author | Wdowiński, Piotr | |
| dc.contributor.author | Zglińska-Pietrzak, Aneta | |
| dc.date.accessioned | 2016-05-09T11:36:27Z | |
| dc.date.available | 2016-05-09T11:36:27Z | |
| dc.date.issued | 2005 | |
| dc.identifier.issn | 0208-6018 | |
| dc.identifier.uri | http://hdl.handle.net/11089/17959 | |
| dc.description | We are grateful to our colleagues from the Department of Econometrics, University
of Łódź, and participants of FindEcon 2004 conference for helpful comments and suggestions
on earlier draft of the paper. | pl_PL |
| dc.description.abstract | W artykule podjęliśmy próbę oceny wpływu indeksów rynku amerykańskiego DJIA
i NASDAQ oraz indeksów rynku europejskiego DAX i FTSE na indeks WIG z giełdy
w Warszawie. Do modelowania tego wpływu wykorzystaliśmy metodologię GARCH. Stosując
metodologię łączenia prognoz oraz metodologię oceny jakości prognostycznej modeli ekonometrycznych,
zaproponowane w pracy Fair i Shiller (1990), pokazaliśmy, że rynek NYSE ma
względną przewagę nad rynkiem europejskim w wyjaśnieniu zmian indeksu WIG. | pl_PL |
| dc.description.abstract | 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 market in
explaining the WSE index WIG. | pl_PL |
| dc.description.sponsorship | Zadanie pt. „Digitalizacja i udostępnienie w Cyfrowym Repozytorium Uniwersytetu Łódzkiego kolekcji czasopism naukowych wydawanych przez Uniwersytet Łódzki” nr 885/P-DUN/2014 zostało dofinansowane ze środków MNiSW w ramach działalności upowszechniającej naukę. | pl_PL |
| dc.language.iso | en | pl_PL |
| dc.publisher | Wydawnictwo Uniwersytetu Łódzkiego | pl_PL |
| dc.relation.ispartofseries | Acta Universitatis Lodziensis. Folia Oeconomica;192 | |
| dc.subject | Warsaw Stock Exchange | pl_PL |
| dc.subject | stock index | pl_PL |
| dc.subject | GARCH model | pl_PL |
| dc.subject | forecasting | pl_PL |
| dc.title | The Warsaw Stock Exchange Index WIG: Modeling and Forecasting | pl_PL |
| dc.title.alternative | Modelowanie i prognozowanie indeksu WIG | pl_PL |
| dc.type | Article | pl_PL |
| dc.rights.holder | © Copyright by Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2005 | pl_PL |
| dc.page.number | 115-127 | pl_PL |
| dc.contributor.authorAffiliation | University of Łódź, Department of Econometrics | pl_PL |
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