Volatility Spillover Effects in European Equity Markets
Preprint
- 1 January 2002
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on the case of Western EKeywords
This publication has 41 references indexed in Scilit:
- Market Integration and ContagionThe Journal of Business, 2005
- International Asset Allocation With Regime ShiftsThe Review of Financial Studies, 2002
- Regime Switches in Interest RatesJournal of Business & Economic Statistics, 2002
- Does Financial Liberalization Spur Growth?Published by National Bureau of Economic Research ,2001
- Foreign Speculators and Emerging Equity MarketsThe Journal of Finance, 2000
- Dating the Integration of World Equity MarketsPublished by National Bureau of Economic Research ,1998
- Emerging equity market volatilityJournal of Financial Economics, 1997
- Time‐Varying World Market IntegrationThe Journal of Finance, 1995
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariancesEconometric Reviews, 1992
- Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch ModelThe Review of Economics and Statistics, 1990