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Determinants of European Stock Market Integration
We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk, mark...
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| Pubblicato in: | MAGKS - Joint Discussion Paper Series in Economics (Band 32-2009) |
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| Autori principali: | , |
| Natura: | Arbeit |
| Lingua: | inglese |
| Pubblicazione: |
Philipps-Universität Marburg
2009
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| Soggetti: | |
| Accesso online: | PDF Full Text |
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