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Have volatility spillover effects of cointegrated European stock markets increased over time?

Klaus Grobys

The Review of Finance and Banking, 2010, vol. 02, issue 2, 083-94

Abstract: In this study volatility spillover effects in preselected cointegrated European stock markets are investigated. The data generating processes are estimated by applying Vector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers are measured by a new concept being denoted here as Volatility Impulse Response Density Functions (VIRDF) being an advancement of the Volatility Impulse Response Functions (VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000 and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stock market to the Swedish and British stock markets have increased by 73.87%, respectively, 15.52%.

Date: 2010
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Handle: RePEc:rfb:journl:v:02:y:2010:i:2:p:083-94