This article examines the comovement dynamics between the developed European stock markets of the United Kingdom, Germany, France and Austria. After applying a Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) and wavelet multiscale analysis on a...

We contributed to the empirical evidence of the impact of macroeconomic environment on the non-performing loans (NPL) ratio dynamics by analyzing the panel model with fixed effects, the model with random effects and instrumental variable regressions to control for a potential endogeneity...

In this paper, we examine the stock exchange index returns for the panel of 27 EU countries in the last ten years. Our method of choice is a special kind of tree models, namely model baþed recursive partitioning (MOB). The MOB algorithm uses the generalized M-fluctuation test to examine the...

Rapid credit growth has been one of the most pervasive developments in recent years in Central and Eastern Europe. Our estimates support the hypothesis that the growth of credit and the amount of available finance might harm banking performance and deteriorate non-performing loans (NPL)...

This paper investigates the (a)symmetry between stock market returns in Central and Eastern European (CEE) countries (Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania, and Poland) on the one hand, and in the eurozone, Russia, and the United States on the other. Correlation asymmetry...

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.’s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...

This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3,2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by...

This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic...

The paper examines the comovement and spillover dynamics between the returns of the Czech and some major European stock markets (namely, the Austrian, French, German, and UK markets, as well as the Central and Eastern European stock markets of Poland, Hungary, and Slovenia). By applying the...

This article examines a range of variables influencing non-performing loan (NPL) ratios in the Czech Republic, Slovakia and Slovenia, as an indicator of the sustainability of banking sector results. Two basic conclusions were drawn from the empirical analysis. First, since the pro-cyclicality of...