Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Using daily returns … comparison to these characteristics during the pre-9/11 period. Our results show that the volatility behavior changed … significantly after the terrorist attacks of 9/11. We show that this sudden shift in the volatility behavior cannot be explained by …

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 …

)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …