A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models
A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models
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
929-950
Dontis-Charitos, P.
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Jory, Surendranath
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Ngo, T.N.
26629670-750c-4d2e-9aea-acad9f882306
Nowman, K.B.
d7b92efc-21df-4c8e-98ba-5200e620d474
Dontis-Charitos, P.
b6b5a4c9-e93c-4d72-b5d1-9688bf999d0c
Jory, Surendranath
2624eb24-850a-48f6-b3c6-c96749b87322
Ngo, T.N.
26629670-750c-4d2e-9aea-acad9f882306
Nowman, K.B.
d7b92efc-21df-4c8e-98ba-5200e620d474
Dontis-Charitos, P., Jory, Surendranath, 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), .
(doi:10.1080/09603107.2013.778944).
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
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e-pub ahead of print date: 29 April 2013
Organisations:
Southampton Business School
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Local EPrints ID: 394273
URI: http://eprints.soton.ac.uk/id/eprint/394273
ISSN: 0960-3107
PURE UUID: 3a8aefdb-68b7-4d61-9044-a4ebe7c23d0c
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Date deposited: 12 May 2016 13:24
Last modified: 15 Mar 2024 03:45
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Author:
P. Dontis-Charitos
Author:
T.N. Ngo
Author:
K.B. Nowman
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