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Savva, C., Osborn, D.R. and Gill, L. (2005) Volatility, Spillover Effects and Correlations in US and Major European Markets. Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group.

has been cited by the following article:

• TITLE: A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis

  AUTHORS: Alethea Rea, William Rea, Marco Reale, Carl Scarrott

  KEYWORDS: Volatility Spillover; Graphical Modelling; Financial Crisis; Causality

  JOURNAL NAME: Applied Mathematics, Vol.5 No.4, March 10, 2014

  ABSTRACT: This paper applies graphical modelling to the S & P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market integration changed significantly between the pre-crisis period and the crisis and post-crisis period. Graphical models of both return and volatility spillovers are presented for each period. We conclude that graphical models are a useful tool in the analysis of multivariate time series where tracing the flow of causality is important.