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A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models
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posted on 2023-06-08, 14:50 authored by P Dontis-Charitos, S R Jory, T N Ngo, K B NowmanIn this article, we provide empirical evidence of the recent financial crisis over 2007–2009 using discrete time multivariate GARCH (MGARCH) models and continuous time modelling approaches. Using daily data for 14 countries, we investigate the return and volatility spillovers among the US and other international markets. The MGARCH results reveal positive return spillovers from the US to a number of markets, and volatility transmission is verified. The US market is prone to return and volatility transmission from a limited number of markets. The continuous time analysis finds evidence of feedback effects in some cases. Evidence shows that spillover effects intensified during the financial crisis.
History
Publication status
- Published
Journal
Applied Financial EconomicsISSN
0960-3107Publisher
Taylor & FrancisExternal DOI
Issue
11Volume
23Page range
929-950Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2013-05-01Usage metrics
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