Anton, Sorin Gabriel; Ochem, Marie - In: International Journal of Economic Policy in Emerging … 6 (2013) 2, pp. 107-121
In this paper, we analyse country risk of eight Central and Eastern European (CEE) countries by calculating time-varying betas. We have used daily closing prices of indices from 3 June 2002 through 2 December 2011, resulting in 2021 observations. The time-varying betas where calculated by...