Davis, E Philip; IOANNIDIS, CHRISTOS; SPAGNOLO, NICOLA - Economics and Finance Section, School of Social … - 2005
We evaluate changes in international spillovers of equity price shocks with EMU by estimating BEKK-GARCH models over 1993-98 and 1999-2004. Results are consistent with EMU market integration via sectoral allocation, but not autonomy from the external influence of the US.