Title: Continuous and discrete time modelling of spillovers in equity and bond markets

Authors: Panagiotis Dontis-Charitos; Orla Gough; K. Ben Nowman; Sheeja Sivaprasad

Addresses: Department of Accounting, Finance and Governance, Westminster Business School, 35 Marylebone Road, London NW1 5LS, UK ' Department of Accounting, Finance and Governance, Westminster Business School, 35 Marylebone Road, London NW1 5LS, UK ' Department of Accounting, Finance and Governance, Westminster Business School, 35 Marylebone Road, London NW1 5LS, UK ' Department of Accounting, Finance and Governance, Westminster Business School, 35 Marylebone Road, London NW1 5LS, UK

Abstract: In this paper we investigate the return and volatility spillovers among equity and bond markets in the UK, USA, Germany and Japan, using continuous time models and discrete time multivariate GARCH modelling methods. Using weekly data over the period 2001 to 2011, empirical evidence of uni- and/or bi-directional return and volatility spillovers is provided. The continuous time analysis finds evidence of feedback effects in some cases. The discrete time results provide weak evidence of return spillovers, while volatility transmission among the majority of equity and fixed income markets is verified. Evidence shows that some of these relationships change in the post-crisis period.

Keywords: stock-bond spillovers; multivariate GARCH; Gaussian estimation; time series; discrete time modelling; equity markets; bond markets; bonds; currency derivatives; continuous time modelling; return spillovers; volatility spillovers; UK; United Kingdom; USA; United States; Germany; Japan; post-crisis.

DOI: 10.1504/IJBD.2013.056935

International Journal of Bonds and Derivatives, 2013 Vol.1 No.1, pp.54 - 87

Available online: 25 Sep 2013 *

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