This paper examines dynamics between the behaviour of the emerging Balkans stock markets, namely Romania, Bulgaria, Serbia, FYROM, Turkey, Croatia, and Albania and mature stock markets, particularly US, UK, Germany, and Greece. We use linear (error correction vector autoregressive model) and non...

This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkans financial markets, modifying the asymmetric generalized...

This paper proposes a new multivariate copula regime-switching model to capture non-linear relationships in four emerging stock markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises (the Asian crisis, the Russian...

This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises. Specifically, both a multivariate...