Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … spillovers between the three CEECs considered and the UK (contagion). -- Central and Eastern European countries (CEECs …) ; volatility spillovers ; interdependence ; contagion ; VAR-GARCH-in-mean model …