Lee, Yen-Hsien; Tucker, Alan L.; Wang, David K.; Pao, … - In: Global Finance Journal 25 (2014) 1, pp. 17-26
This paper investigates how global market sentiment propagates among the markets and how the interdependency through the propagation changes during the course of the US subprime crisis. We adopt a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, and use a sample...