Whereas the initial Brownlees and Engle model is tailored to the US market, the extension by Engle, Jondeau, and Rockinger allows for various factors, time varying parameters, and is therefore more adapted to the European market. One factor captures worldwide variations of financial markets, another one the variations of European markets. Then this extension allows for a country specific factor. By taking into account different factors, one captures the notion that shocks to the US or Asian markets may affect Europe but also that bad news within Europe (such as the news about a potential default of one of the countries) matters for Europe. Also, there may be country specific news that do not affect Europe nor the USA but matter for a given country. Empirically the last factor is found to be less relevant than the worldwide or European factor.