Volatility and shocks spillover before and after EMU in European stock markets

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Volatility Spillovers and Dynamic Correlation in European Bond Markets (2006, unknown): “1 Weekly index closing prices are measured in a common currency, following Ng (2000), Billio and Pelizzon (2003). The underlying assumption is that investors are unhedged against foreign exchange risk.”
The Euro and European Financial Market Dependence (2007, methodology): “…for increased correlation among major European stock markets using Vector Autoregression, Constant and Dynamic Conditional Correlation and EGARCH analyses (Billio and Pelizzon, 2003; Melle, 2003; Cappiello et al., 2004; Savva et al., 2004; Berben and Jansen, 2005; Friedman and Shachmurove, 2005).”
Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach (2008, unknown): “In the case of the EU, the effect of the Euro on the linkage among the developed EU stock markets is investigated by Cheung and Westermann (2001), Billio and Pelizzon (2003), Westermann (2004) and Kim et al (2005).”
Testing for causality in variance in the presence of breaks (2004, methodology): “The modelling of spillover effects has subsequently been developed primarily through correlation analysis based on GARCH models, including King and Wadhwani (1990), Lin, Engle and Ito (1994), Susmel and Engle (1994), Ng (2000) and Billio and Pelizzon (2003).”