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

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Author Info
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
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Handle: RePEc:eee:mulfin:v:13:y:2003:i:4-5:p:323-340

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  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. [Downloadable!]
    Other versions:
  2. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
    Other versions:
  3. Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  4. 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. [Downloadable!]
    Other versions:
  5. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  6. 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. [Downloadable!]
  7. D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The Univeristy of Manchester. [Downloadable!]
    Other versions:
  8. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, School of Economics and Business Administration, Tallinn University of Technology. [Downloadable!]
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