- Journal article

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. doi:10.1080/09603107.2013.778944

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

Authors | Dontis-Charitos, P., Jory, S.R., Ngo, T.N. and Nowman, K.B. |

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. |

Journal | Applied Financial Economics |

Journal citation | 23 (11), pp. 929-950 |

ISSN | 0960-3107 |

Year | 2013 |

Publisher | Taylor & Francis |

Digital Object Identifier (DOI) | doi:10.1080/09603107.2013.778944 |

Publication dates | |

Published | 29 Apr 2013 |

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