Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample...

Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this dissertation, I analyze determinants of conditional correlations. Specifically, I propose the generalized DCCX model that facilitates the analysis of the effects of exogenous...