The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH) may provide an early warning...

In this paper we propose to study if the standard and asymmetric dynamic conditional correlation (DCC) models, following Cappiello et al. (2006), may capture spillover effects and the degree of interaction with the European capital market using the DAX index as proxy. We found evidence that the...

The paper examines the long-term dynamics of four Central and Eastern European countries, namely the Czech Republic, Hungary, Poland and Romania between 2002 and 2012. The structure of the paper is twofold. In the first part, it examines the relationship between a set of macro financial...