Dimitriou, Dimitrios; Simos, Theodore - In: Journal of Financial Economic Policy 5 (2013) 1, pp. 61-71
Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan. Design/methodology/approach – In this...
