@article {2868,
	title = {Financial Market Dynamics in an Enlarged European Union},
	journal = {Journal of Economic Integration},
	volume = {24},
	year = {2009},
	pages = {197-221},
	abstract = {<p>This paper provides evidence of integration in European equity and bond\&nbsp;markets over the period January 2, 1997 to October 1, 2006. Our focus is to\&nbsp;examine time-varying correlation dynamics in Euro-area, Central European (CE)\&nbsp;and Balkan financial markets, modifying the asymmetric generalized dynamic\&nbsp;conditional correlation (AG-DCC) model developed by Cappiello, Engle and\&nbsp;Sheppard (Journal of Financial Econometrics, 2006). Using structural breaks, we\&nbsp;identify the optimal time decay where financial markets share highest\&nbsp;comovement. The results show an increase in the level of dependence during the\&nbsp;period of the internet bubble collapse (2000), the Balkan countries start formally\&nbsp;discussions to join European Union (2000), the introduction of Euro banknotes\&nbsp;and coins (2002) and the entry of CE countries in EU (2004). The CE European\&nbsp;and Balkan countries become gradually more integrated with the EMU countries,\&nbsp;which is consistent with the interpretation that these countries may be expected to join the Euro in the future.</p>},
	url = {http://users.uoa.gr/~dkenourg/proofs_J.Economic_Integration.pdf},
	author = {Dimitris Kenourgios and Aristeidis Samitas and Nikos Paltalidis}
}
