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.

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

JournalApplied Financial Economics
Journal citation23 (11), pp. 929-950
ISSN0960-3107
Year29 Apr 2013
PublisherTaylor & Francis
Digital Object Identifier (DOI)doi:10.1080/09603107.2013.778944
Publication dates
Published29 Apr 2013

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