, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006 … ; Central and South Eastern Europe ; GARCH …

and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in the period 2006 …

, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006 …

correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in …

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three …) ; volatility spillovers ; interdependence ; contagion ; VAR-GARCH-in-mean model …