The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis … details the potential crosscovariance and spillover effects between the Eurozone economies and financial markets. In order to … to capture markets' dependencies and volatility spillovers and is employed on a single market level as well as on the …

June 2011, we investigate the impact of increased volatility in the US on the inter-country industry-level spillover effect … markets. We first show that the spillover of asset price volatility from the US to European markets does exist; the greatest … spike in the volatility in the target markets is observed in the first minute, and is absorbed in the first five minutes …

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the … of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and …

June 2011 we investigate the impact of increased volatility in the US on the cross-country industry level spillover effect … show that spillover of asset price volatility from the US to European markets does exist; the greatest spike in the … volatility in the target markets is observed in the first minute and absorbed in the first five minutes after the volatility …

the European business cycle. In fact, we find the volatility of macroeconomic fundamentals largely unchanged before and … after the introduction of the euro. Exceptions are a strong decline in real exchange rate volatility and a number of changes …

In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …

turmoil in financial markets. We use nonparametric estimates of realized volatility to test for volatility spillovers between … results of the semiparametric tests of Cappiello, Gerard and Manganelli (2005) report evidence of an increase in volatility …