1. Charlotte Christiansen, 2007. "Volatility-Spillover Effects in European Bond Markets," European Financial Management, Blackwell Publishing Ltd, vol. 13(5), pages 923-948. [Downloadable!] (restricted)
2. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December. [Downloadable!] (restricted)
4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
5. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04. [Downloadable!] (restricted)
6. Lastrapes, William D, 1989. "Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(1), pages 66-77, February. [Downloadable!] (restricted)
7. Cheung, Yin-Wong & Westermann, Frank, 2001. "Equity Price Dynamics Before and After the Introduction of the Euro," Discussion Papers in Economics 17, University of Munich, Department of Economics. [Downloadable!]
8. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August. [Downloadable!] (restricted)
9. L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
   Other versions:
   • Baele, L., 2003. "Volatility spillover effects in European equity markets," Discussion Paper 114, Tilburg University, Center for Economic Research. [Downloadable!]
   • Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June. [Downloadable!]
10. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September. [Downloadable!] (restricted)
11. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December. [Downloadable!] (restricted)
12. Yin-Wong Cheung & Frank Westermann, 2001. "Equity Price Dynamics Before and After the Introduction of the Euro: A Note," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
13. Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Other versions:
    • Charlotte Christiansen, 2007. "Decomposing European Bond and Equity Volatility," CREATES Research Papers 2007-06, School of Economics and Management, University of Aarhus. [Downloadable!]
14. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004. [Downloadable!]
15. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
16. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572. [Downloadable!] (restricted)
    Other versions:
    • Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
17. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October. [Downloadable!] (restricted)
18. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 281-307. [Downloadable!] (restricted)
19. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006. [Downloadable!]
20. C.M. Hafner & P.H. Franses, 2003. "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Report 323, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
    • Hafner, C.M. & Franses, Ph.H.B.F., 2003. "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Report EI 2003-18 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

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1. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
   Other versions:
   • Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-varying conditional correlations," Centre for Growth and Business Cycle Research Discussion Paper Series 96, Economics, The Univeristy of Manchester. [Downloadable!]