Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013
September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of … US. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we … also apply a tri-variate Cholesky-GARCH model to include potential effects from the Chinese market, as represented by the …