Slimane, Faten Ben; Mehanaoui, Mohamed; Kazi, Irfan A. - Institut de Préparation à l'Administration et à la … - 2014
The paper examines the intraday dynamics and volatility transmission among three European stock markets: Germany, France, the UK during the financial crisis of 2007-to-2009. After estimating the structural break date using Bai-Perron (1998, 2003), we analyze the pre-crisis and crisis periods...