%0 Journal Article
%T HAVE VOLATILITY SPILLOVER EFFECTS OF COINTEGRATED EUROPEAN STOCK MARKETS INCREASED OVER TIME?
%A KLAUS GROBYS
%J Review of Finance and Banking
%D 2010
%I Bucharest Academy of Economic Studies
%X In this study volatility spillover effects in preselected cointegrated Europeanstock markets are investigated. The data generating processes are estimated by applyingVector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers aremeasured by a new concept being denoted here as Volatility Impulse Response DensityFunctions (VIRDF) being an advancement of the Volatility Impulse Response Functions(VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stockmarket to the Swedish and British stock markets have increased by 73.87%, respectively,15.52%.
%U http://www.rfb.ase.ro/articole/paper3.pdf