Stock market integration between new EU member states and the Euro-zone
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- Aslanidis, Nektarios & Savva, Christos S., 2008. "Stock market integration between new EU member states and the Euro-zone," Working Papers 2072/13263, Universitat Rovira i Virgili, Department of Economics.
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More about this item
KeywordsMultivariate GARCH; Smooth transition conditional correlation; Stock return comovement; New EU members; C32; C51; F36; G15;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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