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 …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

same country. Under the EMU, the elimination of nominal exchange rate volatility has largely reduced these border effects …, but distance and border still matter for intra-European relative price volatility. …

volatility across emerging markets today is still significantly larger than a decade ago. …