R. Engle, “Wald, Likelihood Ratio and Lagrange Multiplier Tests in Econometrics,” In: Z. Griliches and M. D. lntriligator, Eds., Handbook of Econometrics II, 1983, pp. 796-801.

has been cited by the following article:

• TITLE: Dynamic Interactive Cycles during the 2008 Financial Crisis

  AUTHORS: Ioannis M. Neokosmidis, Vassilis Polimenis

  KEYWORDS: Unit Root Test, Cointegration, Granger Causality, Multivariate Volatility Processes, Financial Crisis

  JOURNAL NAME: Modern Economy, Vol.1 No.1, June 7, 2010

  ABSTRACT: This paper focuses on the analysis of the 2008 financial crisis and how it affects the global financial markets. We analyze three major markets (US, UK, and ASIA) that are represented by the levels of three broad stock indices S&P 500, FTSE 100 and Hang Seng respectively. Our methodology is based on cointegration analysis and Granger causality test in order to examine the interaction between the markets (information flows). Additionally, we study the volatility transmission based on multivariate GARCH analysis. We find significant changes in information flows before and during the financial crisis.