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Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data

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  • Faten Ben Slimane
  • Mohamed Mehanaoui
  • Irfan A. Kazi

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  • Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-126
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_126.pdf
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    23. Bhar, Ramaprasad & Nikolova, Biljana, 2009. "Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework," Global Finance Journal, Elsevier, vol. 19(3), pages 203-218.
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    29. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
    30. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 157-166, May.
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