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Volatility and shocks spillover before and after EMU in European stock markets

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  • Billio, Monica
  • Pelizzon, Loriana

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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 13 (2003)
Issue (Month): 4-5 (December)
Pages: 323-340
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:mulfin:v:13:y:2003:i:4-5:p:323-340

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Web page: http://www.elsevier.com/locate/mulfin

For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," The School of Economics Discussion Paper Series 0515, Economics, The University of Manchester.
  2. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA.
  3. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008. "Crises and Hedge Fund Risk," Yale School of Management Working Papers amz2561, Yale School of Management, revised 01 Oct 2009.
  4. Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, Department of Economics, University of Venice "Ca' Foscari".
  5. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
  6. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  7. E Philip Davis & CHRISTOS IOANNIDIS & NICOLA SPAGNOLO, 2005. "Stock Market Integration And European Monetary Union," Economics and Finance Discussion Papers 05-19, Economics and Finance Section, School of Social Sciences, Brunel University.
  8. Dijk, D.J.C. van & Osborn, D.R. & Sensier, M., 2004. "Testing for causality in variance in the presence of breaks," Econometric Institute Report EI 2004-48, Erasmus University Rotterdam, Econometric Institute.
  9. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.

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