The present study investigates the timing and repercussion of the subprime crisis of 2008-09 in a regime-switching model. The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade, and investment trends can...

Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan. Design/methodology/approach: The study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type models....