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• W2014642064 abstract ":This paper examines the comovements of stock markets in the CEE-3 (Central and Eastern European: Poland, the Czech Republic, and Hungary) countries using the VAR-GARCH-BEKK model over the period 2005–13. Research indicates that in the CEE-3 countries, volatility spillovers played a dominant role and that the stock exchanges in Poland, the Czech Republic, and Hungary did not react similarly to the global shocks of the recent crisis (2007–2013). We use a dynamic version of the Diebold–Yilmaz volatility spillover index to present the evolution of volatility transmission over time. The results show that the CEE-3 countries were volatility-takers in the period under analysis and that volatility spillovers were extremely high during periods characterized by market uncertainty." @default.
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• W2014642064 date "2014-09-01" @default.
• W2014642064 modified "2023-09-25" @default.
• W2014642064 title "Comovements of Stock Markets in the CEE-3 Countries During the Global Financial Crisis" @default.
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• W2014642064 doi "https://doi.org/10.1080/00128775.2014.1004907" @default.
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