KARUNANAYAKE, INDIKA; VALADKHANI, ABBAS; O'BRIEN, MARTIN - In: Australian Economic Papers 49 (2010) 3, pp. 209-221
This paper examines the interplay between stock market returns and their volatility, focusing on the Asian and global financial crises of 1997-98 and 2008-09 for Australia, Singapore, the UK, and the US. We use a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH)...