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The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic caused by COVID-19. The time-varying parameter vector autoregressive (TVP-VAR) model on which is based the methodology proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical results obtained for the period January 2001 – September 2021 highlight the increase in volatility spillover between the countries analysed when the pandemic caused by COVID-19 was confirmed. The lack of volatility integration of the markets analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the management of financial asset portfolios.

The idea of business cycles asymmetry is not new in economic theory. According to business cycles asymmetry, a country’s economy behaves differently during economic growth periods as compared to economic recession periods. The results achieved by business cycles asymmetry testing are far from unanimous: some are positive, others are negative. Business cycles asymmetry has major econometric implications: business cycles cannot be modeled using linear models. This paper aims to test business cycles asymmetry in Central and Eastern European Countries, where few business cycles analyses, and especially business cycles asymmetry researches, have been conducted. The industrial production index was considered when testing business cycles asymmetry. We estimated business cycles using the Hodrick-Prescott filter and Mills’ test of asymmetry. Mira’s test was also employed to test results reliability. According to our results, business cycles in Central and Eastern European countries are not asymmetric

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