The comovements of stock markets in Hung
✍
Martin Scheicher
📂
Article
📅
2001
🏛
John Wiley and Sons
🌐
English
⚖ 168 KB
## Abstract In this paper, we study the regional and global integration of stock markets in Hungary, Poland and the Czech Republic. We estimate a vector autoregression with a multivariate GARCH component and perform a variety of diagnostic tests. Our main empirical result is the existence of limite