captures both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The attraction of the … mortgage debt. It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, when the US … paper is the inclusion of leverage, or asymmetric effects. Our modelling is undertaken in the context of a multivariate …

) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …