HAVE VOLATILITY SPILLOVER EFFECTS OF COINTEGRATED EUROPEAN STOCK MARKETS INCREASED OVER TIME?

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%.