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 …

the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 1998−2009 and their …

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 …

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 …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …