Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and … Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …

Frankfurt and the market maker system London. GARCH volatility spillovers strongly support these results and quantify a dominant …

solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an …Information flows across international financial markets typically occur within hours, making volatility spillover … appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. …

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …