Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets
Using data from three Central and Eastern European (CEE-3) and two developed stock markets, we present a methodology for validating the existence of shift contagion between these markets. The use of endogenously detected changes in the volatility of stock market returns allows us to define relatively high- and low-volatility regimes for particular stock markets. We verify whether volatility regimes are significantly associated with dynamic conditional correlations (DCCs), thus providing evidence for contagion between stock markets.
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Volume (Year): 18 (2011)
Issue (Month): 12 ()
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