Syllignakis, Manolis; Kouretas, Georgios - William Davidson Institute, University of Michigan - 2006
: Central Eastern European equity markets, Market Integration, Common
trends, DCC, SWARCH-L.
JEL classification: G15, C12, C … (SWARCH-L) model of Hamilton and Susmel (1994) to study for structural breaks in
volatility of the examined markets during … the region.
5
their initial (low) levels. Finally, the application of the SWARCH-L model indicates a
significantly …