Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is...

In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the...