Christiansen, Charlotte - Ehrvervøkonomisk Institut, Institut for Økonomi - 2005
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset …, and German stocks. Significant volatility-spillover effects are found. The national bond (stock) volatilities are mainly … influenced by bond (stock) effects. Global, regional, and local volatility effects are all important. The introduction of the …