Allen, David Edmund; McAleer, Michael; Powell, Robert J.; … - Facultad de Ciencias Económicas y Empresariales, … - 2012
September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of …. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we also … apply a tri-variate Cholesky-GARCH model to include potential eects from the Chinese market, as represented by the Hang Seng …