sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd … behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU … crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the …

bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality …

, Engle and Ghysel's Mixed Data Sampling Dynamic Conditional Correlation Garch model to include a new scalar measure for the … degree of correlatedness in time-varying correlation matrices. We also explore the robustness of the findings with a less … model-dependent realized covariance estimator. We find a secular trend toward higher correlation during our sample period …

, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß … process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of …

, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß … process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of … integration ; EU ; stock markets ; ß-convergence ; s-convergence ; correlation analysis …

, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß … process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of …

, consumer goods, industrials, consumer services, health care and financials. The analysis is practised by using correlation … have been more integrated during the process of monetary, economic and financial integration in Europe. We find evidence …