A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models

Dontis-Charitos, P, Jory, S R, Ngo, T N and Nowman, K B (2013) A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models. Applied Financial Economics, 23 (11). pp. 929-950. ISSN 0960-3107

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Abstract

In 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.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance
Depositing User: Surendranath Jory
Date Deposited: 01 May 2013 08:53
Last Modified: 01 May 2013 08:53
URI: http://sro.sussex.ac.uk/id/eprint/44562
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