sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

calculate a complete time varying correlation matrix for these countries. We can then examine the way the conditional … correlation of shocks between the EU15 and the new member countries has been evolving over time. Our results suggest that the … the new member countries seem to exhibit relatively low correlation with EU15 …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation … shows there is a relatively stable, positive correlation between the EUA and Brent oil, natural gas. However, modeling the …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

the correlation with the US …

This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian … - December 2008. Moreover, it examines the potential asymmetries of herding effects with respect to the sign of the market return … by the cross-sectional dispersion of returns in the rest three markets. Finally, it tests whether herding effects became …

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001 …-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and … asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global …

herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd … behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU … crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the …