Institute of Information Theory and Automation

Dynamic correlations and financial market risk

Project leader: Doc. PhDr. Jozef Baruník, Ph.D.
Department: E
Supported by (ID): GA14-2412195
Grantor: Czech Science Foundation
Type of project: theoretical
Duration: 2014 - 2016
Publications at UTIA: list

Abstract:

The aim of the research project is to analyze financial risk and market co-movements using novel econometric methods and their theoretically grounded modifications. The main focus will be on emerging European markets with respect to global developed markets, as well as important assets from commodities markets. Co-movements between the markets based on different data frequencies may potentially show disparities in the degree of market synchronization due to different degrees of market integration. However, less pronounced co-movements might be due to market spillovers or market domination. Dynamics may also exhibit regime changes, jumps, and asymmetries. Moreover, correlation dynamics may well follow different patterns at various time horizons as heterogenous traders with decisions over various investment horizons are interacting in the markets. Importance to analyze these issues became more acute due to the global financial crisis, which was characterized by a series of joint negative shocks and increased turbulence.

Project team:
Responsible for information: E
Last modification: 18.01.2016
Institute of Information Theory and Automation