The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period.,The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models.,The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets.,These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk.,Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

中文翻译：

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CEE股票市场整合及其波动溢出效应分析

本文旨在研究2007年后金融危机时期匈牙利，波兰，捷克共和国，罗马尼亚和克罗地亚等中东欧市场波动的条件相关性和溢出效应。作者使用五维GARCH -BEKK以及CCC和DCC模型。三个模型的估计结果通常表明，这些市场之间的相关性特别重要。此外，对于所有市场，自身波动性溢出通常都低于交叉波动性溢出。这些结果建议投资者在中东欧股票市场投资以及分散其投资组合时应谨慎，以最大程度地降低风险。该领域的研究，本文是首次将多元GARCH-BEKK与CCC和DCC模型一起使用的研究。