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    Modelling stock volatilities during financial crises: A time varying coefficient approach by Menelaos Karanasos, Alexandros G Paraskevopoulos, Faek Menla Ali, Michail Karoglou, Stavroula Yfanti

    Published 2014
    “…Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. …”
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