Rea, Alethea; Rea, William; Reale, Marco; Scarrott, Carl - Department of Economics and Finance, College of … - 2012
This paper applies graphical modelling to the S&P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market...