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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
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 …
Persistent link: https://www.econbiz.de/10003942221
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Stock market integration between three CEECs
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003979840
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003963283
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Stock market integration between three CEECs
Caporale, Guglielmo Maria; Spagnolo, Nicola - In: Journal of economic integration 27 (2012) 1, pp. 115-122
Persistent link: https://www.econbiz.de/10009517757
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Stock market integration between three CEECs, Russia, and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - In: Review of international economics 19 (2011) 1, pp. 158-169
Persistent link: https://www.econbiz.de/10009127584
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Transfer of Financial Risk in Emerging Eastern European Stock Markets : A Sectoral Perspective
Fedorova, Elena - 2011
the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 1998−2009 and their …
Persistent link: https://www.econbiz.de/10013119695
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10011471074
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Simultaneous stochastic volatility transmission across American equity markets
Weber, Enzo (contributor) - 2008
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 …
Persistent link: https://www.econbiz.de/10003727720
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2009
, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …
Persistent link: https://www.econbiz.de/10013155090
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2013
, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …
Persistent link: https://www.econbiz.de/10013095613