Przykład zastosowania metod analizy wielowymiarowej w analizie zarażania rynków finansowych
Example of using multidimensional methods in analyzing the contagion on the financial markets

Summary/Abstract: As for now there is no generally accepted definition of contagion on the financial markets, but for the purpose of this paper one can define contagion as a significantly greater dependency between price movements on different financial markets in time of crisis. To better understand this phenomenon this article presents a method for defining and investigating contagion between two financial markets X and Y by using the information about their dependence. There is also presented empirical research which utilizes this method.

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