euro currency, had on returns volatility across the different members of the currency union. We analyse the twelve … countries that adopted the euro in January 2002, over the sample period July 1990 to December 2006. Volatility is measured …. We find that overall there is a distinct change in the dynamics of asymmetric volatility across the various stages in the …

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …