Financial market integration in Europe: on the effects of EMU on stock markets
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Europ. Central Bank
2001
|
| Series: | Working paper series / European Central Bank
48 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 38 - 40 |
| Physical Description: | 44 S. graph. Darst. : 30 cm |
Staff View
MARC
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| 264 | 1 | |a Frankfurt am Main |b Europ. Central Bank |c 2001 | |
| 300 | |a 44 S. |b graph. Darst. : 30 cm | ||
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| 500 | |a Literaturverz. S. 38 - 40 | ||
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Record in the Search Index
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|---|---|
| adam_text |
CONTENTS
ABSTRACT
5
I
INTRODUCTION
7
2
LITERATURE
ON
FINANCIAL
INTEGRATION
8
3
MODELING
INTEGRATION:THEORETICAL
MOTIVATION
AND
EMPIRICAL
METHODOLOGY
1
0
3.
1
THEORETICAL
MOTIVATION:
AN
UNCOVERED
ASSET
RETURN
PARITY
(UAP)
RELATION
10
3.2
EMPIRICAL
METHODOLOGY:TRIVARIATE
GARCH
MODELS
TO
MEASURE
FINANCIAL
MARKET
INTEGRATION
11
3.3
ASYMMETRY
AND
THRESHOLD
EFFECTS
IN
THE
SHOCK
TRANSMISSION
1
3
3.4
SPECIFICATION
TESTS
14
4
TESTING
FOR
FINANIAL
INTEGRATION
1
5
4.
1
THE
DATA
1
5
4.2
THE
RESULTS
1
6
5
ILLUSTRATING
TIME-VARYING
FINANCIAL
INTEGRATION:
ROLLING
ESTIMATION
AND
RECURSIVE
ESTIMATION
TECHNIQUES
1
9
6
EXPLAINING
TIME-VARYING
FINANCIAL
INTEGRATION:THE
ROLE
OF
EMU
24
6.
1
MODELING
TIME-VARYING
INTEGRATION
25
6.2
THE
ROLE
OF
EXCHANGE
RATES
25
6.3
THE
ROLE
OF
EMU
27
6.3.
1
PRINCIPAL
COMPONENT
ANALYSIS
27
6.3.2
INDIVIDUAL
VARIABLE
ANALYSIS
30
6.4
SPECIFICATION
AND
ROBUSTNESS
TESTS
3
1
7
CONCLUSIONS
37
REFERENCES
38
DATA
APPENDIX:
DEFINITIONS
AND
DATA
SOURCES
4
1
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
42 |
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| illustrated | Illustrated |
| indexdate | 2025-01-02T09:19:06Z |
| institution | BVB |
| language | English |
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| physical | 44 S. graph. Darst. : 30 cm |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Europ. Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | Fratzscher, Marcel 1971- Verfasser (DE-588)12212958X aut Financial market integration in Europe on the effects of EMU on stock markets by Marcel Fratzscher Frankfurt am Main Europ. Central Bank 2001 44 S. graph. Darst. : 30 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 48 Literaturverz. S. 38 - 40 Europäische Union (DE-588)5098525-5 gnd rswk-swf Geschichte 1980-2000 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Währungsunion (DE-588)4188829-7 gnd rswk-swf Europäische Union (DE-588)5098525-5 b Währungsunion (DE-588)4188829-7 s Kreditmarkt (DE-588)4073788-3 s Geschichte 1980-2000 z DE-604 European Central Bank Working paper series 48 (DE-604)BV012681744 48 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009366356&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fratzscher, Marcel 1971- Financial market integration in Europe on the effects of EMU on stock markets Europäische Union (DE-588)5098525-5 gnd Kreditmarkt (DE-588)4073788-3 gnd Währungsunion (DE-588)4188829-7 gnd |
| subject_GND | (DE-588)5098525-5 (DE-588)4073788-3 (DE-588)4188829-7 |
| title | Financial market integration in Europe on the effects of EMU on stock markets |
| title_auth | Financial market integration in Europe on the effects of EMU on stock markets |
| title_exact_search | Financial market integration in Europe on the effects of EMU on stock markets |
| title_full | Financial market integration in Europe on the effects of EMU on stock markets by Marcel Fratzscher |
| title_fullStr | Financial market integration in Europe on the effects of EMU on stock markets by Marcel Fratzscher |
| title_full_unstemmed | Financial market integration in Europe on the effects of EMU on stock markets by Marcel Fratzscher |
| title_short | Financial market integration in Europe |
| title_sort | financial market integration in europe on the effects of emu on stock markets |
| title_sub | on the effects of EMU on stock markets |
| topic | Europäische Union (DE-588)5098525-5 gnd Kreditmarkt (DE-588)4073788-3 gnd Währungsunion (DE-588)4188829-7 gnd |
| topic_facet | Europäische Union Kreditmarkt Währungsunion |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009366356&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
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