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Financial Crisis, SW-GARCH Model, Volatility, Stock Markets
This paper studiesthe volatility in ten Europeanstock markets (Denmark, France, Germany, Ireland, Italy, Netherland, Spain, Sweden,Switzerland and United Kingdom) during the periods of financial crisis (East Asian currency crisis, Subprime crisis) from 1990 to 2012. We apply Markov Regime Switching SW-GARCHmodel. Our results show that mostof the European stock markets are closely interlinked to the U.S.
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