Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

This article investigates the impact of the introduction of the euro on the interactions across the New York, London, Frankfurt and Paris stock markets. After controlling for possible returns and volatility spillovers, we focus on the correlations of shocks using the framework of Dynamic...