Horvath, Roman; Petrovski, Dragan - William Davidson Institute, University of Michigan - 2012
We examine the international stock market comovements between Western Europe vis-à-vis Central (the Czech Republic …, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006 …-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South …