The aim of this article is to study the dynamics of financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model (IAPM) developed by Errunza and Losq (1985) and Carrieri et al. (2007), allowing for time-varying...

This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying...

The aim of this paper is to assess the financial integration degree of the Central and Eastern European Countries (CEECs) with the euro area in the prospect of their integration in the Economic and Monetary Union (EMU). To this end, we test the Feldstein-Horioka regression for a non-stationary...