This paper applies the Dynamic Conditional Correlation (DCC) multivariate GARCH model
of Engle (2002), in order to examine the time-varying conditional correlations to the weekly …

Research on the macroeconomic impact of capital account liberalization finds few, if any,
robust effects of liberalization on real variables. In contrast to the prevailing wisdom, I argue …

In this study, we address whether the degree of financial liberalization affects the
aggregated total volatility of stock returns by considering the time-varying nature of financial …

We examine, through application of wavelet coherency, the co‐movement of European
frontier stock markets with the USA and developed markets in Europe. We find that the …

We analyze the financial integration of the new European Union (EU) member states' stock
markets using the negative (positive) coexceedance variable that counts the number of large …

This paper studies the spread between 10 year Euro denominated Central and Eastern
European (CEE) government bonds and their German counterpart. With newly available …

This paper deals with an empirical dimension of financial integration among stock exchange
markets in four new EU Member States (Czech Republic, Hungary, Poland and Slovakia) in …

This paper examines the long-term linkages between seven Central and Eastern European
(CEE) emerging stock markets and two developed stock markets, namely the German and …

In this paper, we examine the scope for in ternational stock portfolio diversification, from the
viewpoint of a United States representative investor, in regard to both the Asian and the …

We tested the economic activity and stock exchange of Croatia as a new country of EU in
order to investigate the 'Black Swan effect'from 2000 to 2013. The empirical findings …