Extreme Coexceedances in New EU Member States' Stock Markets

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Contagion as a domino effect in global stock markets (2009, unknown): “Christiansen and Ranaldo (2009) apply the methodology of Bae et al. (2003) to the stock markets of the EU and its new members and find evidence of an increased dependence of new EU stock markets to those in Western Europe.”
Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade (2010, background): “…¼ CðLÞet : ð4Þ The C(L) polynomial can be decomposed as C(L) = C(1)+ (1 L)C*(L) which implies that DXt has a reduced form common trend representation: 2 Christiansen and Ranaldo (2009) argue that these markets have actually become more integrated with those in Western Europe after the EU…”