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 over2007–2009 using discrete time multivariate GARCH (MGARCH) models andcontinuous time modelling approaches. Using daily data for 14 countries, weinvestigate the return and volatility spillovers among the US and other internationalmarkets. The MGARCH results reveal positive return spillovers from theUS to a number of markets, and volatility transmission is verified. The US marketis 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