Dontis-Charitos, P.; Jory, S. R.; Ngo, T. N.; Nowman, K. B. - In: Applied Financial Economics 23 (2013) 11, pp. 929-950
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...
