This study explores the time-varying correlations among the bank industry Credit Default Swap (CDS) indices for the EU, the UK and the US, using the asymmetric Dynamic Conditional Correlation (DCC) model developed by Cappiello <italic>et al</italic>. (2006). The main findings of the study include: (i) The...

This paper adopts the robust cross-correlation function methodology developed by Hong (J Econom 103:183–224, <CitationRef CitationID="CR14">2001</CitationRef>) in order to test for volatility and mean spillovers between Greek long-term government bond yields and the banking sector stock returns of four Southern European countries, namely...</citationref>

This paper examines the linear and nonlinear causal relationships between commodity price indices and macroeconomic variables such as the consumer price index (CPI) and the industrial production index (IP) in the Euro zone. We use monthly time series data from January 1999 to December 2011 and...

By using the asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006), we examine how the time-varying correlations between Greece and other six European countries (Germany, France, UK, Ireland, Italy, and Spain) evolved from January 2007 to March 2011. The main...

We employ an asymmetric dynamic conditional correlation model to investigate the time-varying integration of the London Interbank Offered Rate (LIBOR) rates for three major European currencies -the euro (EUR), Swiss franc (CHF), and British pound (GBP). We assess the impacts of the global...

This article employs the lag-augmented VAR (LA-VAR) approach developed by Toda and Yamamoto (1995) to analyze the transmission of stock indices among the European PIIGS (Portugal, Ireland, Italy, Greece and Spain), Germany and the UK before and during the European sovereign debt crisis. The...