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Volatility in the transition markets of Central Europe

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  1. repec:wdi:papers:2011-1028 is not listed on IDEAS
  2. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
  3. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: a multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
  4. Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
  5. Shreevastava Aman & Raza Shahil & Bharat Kumar Meher & Ramona Birau & Anand Abhishek & Mircea Laurentiu Simion & Nadia Tudora Cirjan, 2024. "Exploring Advanced GARCH Models for Analyzing Asymmetric Volatility Dynamics for the Emerging Stock Market in Hungary: An Empirical Case Study," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 41-52.
  6. Erginbay UGURLU, 2014. "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 302-310, December.
  7. Shyh‐Wei Chen & Chung‐Hua Shen, 2004. "Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets," Asian Economic Journal, East Asian Economic Association, vol. 18(2), pages 185-211, June.
  8. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  9. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
  10. Horvath, Roman & Petrovski, Dragan, 2013. "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, vol. 37(1), pages 81-91.
  11. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis : a multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland, Institute for Economies in Transition.
  12. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
  13. Leonardo Badea & Daniel Ştefan Armeanu & Iulian Panait & Ştefan Cristian Gherghina, 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
  14. Aycan HEPSAG, 2016. "Asymmetric stochastic volatility in central and eastern European stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 135-144, Summer.
  15. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  16. repec:lan:wpaper:2452 is not listed on IDEAS
  17. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, Department of Economics and Business Economics, Aarhus University.
  18. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
  19. repec:lan:wpaper:2594 is not listed on IDEAS
  20. Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, . "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-17.
  21. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
  22. Josip Arneric & Elza Jurun & Snježana Pivac, 2008. "Multivariate Risk-Return Decision Making Within Dynamic Estimation," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 7, pages 1-11, October.
  23. Shenqiu Zhang & Ivan Paya & David Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1847-1857.
  24. Elena Fedorova & Kashif Saleem, 2010. "Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 519-533, December.
  25. Habibeh Sherafatmand & Saeed Yazdani, 2014. "The management of price risk in Iranian dates: An application of futures instruments," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-12, December.
  26. repec:lan:wpaper:2371 is not listed on IDEAS
  27. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  28. Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.
  29. Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017. "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(1), pages 55-71.
  30. Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
  31. Li, Hong & Majerowska, Ewa, 2006. "Stock market integration: a multivariate GARCH analysis on Poland and Hungary," Economics Discussion Papers 2006-2, School of Economics, Kingston University London.
  32. repec:zbw:bofitp:2008_008 is not listed on IDEAS
  33. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
  34. Ani Stoykova & Mariya Paskaleva, 2018. "Correlation Dynamics between Southeast European Capital Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 49-82.
  35. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  36. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
  37. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
  38. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  39. Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 16(9), pages 675-685.
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