Dimitriou, Dimitrios; Mpitsios, Petros; Simos, Theodore - Volkswirtschaftliche Fakultät, … - 2011
This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of … to identify the direction and magnitude of volatility spillovers. By using a sample of daily data from 1994 to 2009, we … the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used …