Dontis-Charitos, Panagiotis; Jory, Surendranath Rakesh; … - 2022
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...
