create a website

Empirical Modeling of Contagion: A Review of Methodologies. (2004). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda.
In: IMF Working Papers.
RePEc:imf:imfwpa:2004/078.

Full description at Econpapers || Download paper

Cited: 59

Citations received by this document

Cites: 65

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Forecasting systemic risk in portfolio selection: The role of technical trading rules. (2021). Kouaissah, Noureddine ; Hocine, Amin.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:4:p:708-729.

    Full description at Econpapers || Download paper

  2. On the global financial market integration “swoosh” and the trilemma. (2019). Mehl, Arnaud ; Bekaert, Geert.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245.

    Full description at Econpapers || Download paper

  3. Logistics and stock market inter-dependence: the case of China. (2018). Li, Xiaobing ; Cai, Jinghan.
    In: International Journal of Logistics Economics and Globalisation.
    RePEc:ids:injleg:v:7:y:2018:i:3:p:292-306.

    Full description at Econpapers || Download paper

  4. On the Global Financial Market Integration “Swoosh” and the Trilemma. (2017). Mehl, Arnaud ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23124.

    Full description at Econpapers || Download paper

  5. Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas. (2016). Martins, Luis ; Lagoa, Sergio ; Horta, Paulo.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:4:p:625-637.

    Full description at Econpapers || Download paper

  6. Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets. (2015). Haque, Mahfuzul ; Shamsub, Hannarong.
    In: IJFS.
    RePEc:gam:jijfss:v:3:y:2015:i:4:p:557-586:d:60348.

    Full description at Econpapers || Download paper

  7. Time-varying regional and global integration and contagion: Evidence from style portfolios. (2015). Hyde, Stuart ; Cho, Sungjun ; Nguyen, Ngoc.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:109-131.

    Full description at Econpapers || Download paper

  8. The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1352.

    Full description at Econpapers || Download paper

  9. The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:69:y:2014:i:6:p:2597-2649.

    Full description at Econpapers || Download paper

  10. Stock Return Co-movement and Systemic Risk in the Turkish Banking System. (2013). Orman, Cuneyt ; Köksal, Bülent ; Binici, Mahir.
    In: Central Bank Review.
    RePEc:tcb:cebare:v:13:y:2013:i:specialissue:p:41-63.

    Full description at Econpapers || Download paper

  11. Large global volatility shocks, equity markets and globalisation: 1885-2011. (2013). Mehl, Arnaud.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:148.

    Full description at Econpapers || Download paper

  12. Analysis of contagion from the constant conditional correlation model with Markov regime switching. (2013). Valls Pereira, Pedro ; Pereira, Pedro Luiz Valls, ; Rotta, Pedro Nielsen .
    In: Textos para discussão.
    RePEc:fgv:eesptd:340.

    Full description at Econpapers || Download paper

  13. Large global volatility shocks, equity markets and globalisation: 1885-2011. (2013). Mehl, Arnaud.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131548.

    Full description at Econpapers || Download paper

  14. TRANSMISSION OF MARKET CRISES IN THE EUROPEAN VEGETABLES SECTOR. (2012). Santeramo, Fabio ; Cioffi, Antonio.
    In: Politica Agricola Internazionale - International Agricultural Policy.
    RePEc:ags:eiapai:150386.

    Full description at Econpapers || Download paper

  15. Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues. (2012). Esposti, Roberto ; Listorti, Giulia.
    In: Bio-based and Applied Economics Journal.
    RePEc:ags:aieabj:125721.

    Full description at Econpapers || Download paper

  16. Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals. (2011). Valls Pereira, Pedro ; Marçal, Emerson ; Nakamura, Wilson Toshiro ; Diogenes Manoel Leiva Martin, .
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:19:p:2365-2379.

    Full description at Econpapers || Download paper

  17. Contagion between United States and european markets during the recent crises. (2011). Márquez Cebrián, M.Dolores ; Muoz, Pilar M ; Marquez, Maria Dolores ; Sanchez, Josep A..
    In: MPRA Paper.
    RePEc:pra:mprapa:35993.

    Full description at Econpapers || Download paper

  18. Are there Spillover Effects From Munis?. (2011). Sy, Amadou ; Candelon, Bertrand ; arezki, rabah.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/290.

    Full description at Econpapers || Download paper

  19. Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis. (2011). Sy, Amadou ; Candelon, Bertrand ; arezki, rabah.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/068.

    Full description at Econpapers || Download paper

  20. Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model. (2011). Fratzscher, Marcel ; Chudik, Alexander.
    In: European Economic Review.
    RePEc:eee:eecrev:v:55:y:2011:i:3:p:325-339.

    Full description at Econpapers || Download paper

  21. Global crises and equity market contagion. (2011). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111381.

    Full description at Econpapers || Download paper

  22. Global crises and equity market contagion. (2011). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8438.

    Full description at Econpapers || Download paper

  23. Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis. (2011). Sy, Amadou ; Candelon, Bertrand ; arezki, rabah.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3411.

    Full description at Econpapers || Download paper

  24. Empirics of Currency Crises: A Duration Analysis Approach. (2011). Voia, Marcel ; Karimi, Mohammad.
    In: Carleton Economic Papers.
    RePEc:car:carecp:11-11.

    Full description at Econpapers || Download paper

  25. Financial Contagion and the Real Economy. (2010). Baur, Dirk.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2010-16.

    Full description at Econpapers || Download paper

  26. Is gold a safe haven? International evidence. (2010). McDermott, Thomas ; Baur, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:8:p:1886-1898.

    Full description at Econpapers || Download paper

  27. Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model. (2010). Fratzscher, Marcel ; Chudik, Alexander.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8093.

    Full description at Econpapers || Download paper

  28. Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading. (2009). Frank, Nathaniel.
    In: Economics Papers.
    RePEc:nuf:econwp:0904.

    Full description at Econpapers || Download paper

  29. Are Free Trade Agreements Contagious?. (2009). Jaimovich, Dany ; Baldwin, Richard.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd09-057.

    Full description at Econpapers || Download paper

  30. Are Free Trade Agreements Contagious?. (2009). Jaimovich, Dany ; Baldwin, Richard.
    In: CCES Discussion Paper Series.
    RePEc:hit:ccesdp:12.

    Full description at Econpapers || Download paper

  31. Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals. (2009). Valls Pereira, Pedro ; Marçal, Emerson ; Pereira, Pedro L. Valls, .
    In: Textos para discussão.
    RePEc:fgv:eesptd:177.

    Full description at Econpapers || Download paper

  32. Testing the hypothesis of contagion using multivariate volatility models. (2009). Valls Pereira, Pedro ; Marçal, Emerson ; Pereira, Pedro L. Valls, .
    In: Textos para discussão.
    RePEc:fgv:eesptd:174.

    Full description at Econpapers || Download paper

  33. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. (2009). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Beirne, John ; Schulze-Ghattas, Marianne.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2545.

    Full description at Econpapers || Download paper

  34. As Good As It Gets? The International Dimension to Canadas Monetary Policy Strategy Choices. (2009). Siklos, Pierre.
    In: C.D. Howe Institute Commentary.
    RePEc:cdh:commen:292.

    Full description at Econpapers || Download paper

  35. Testing the Hypothesis of Contagion Using Multivariate Volatility Models. (2008). Valls Pereira, Pedro ; Marçal, Emerson ; Maral, Emerson Fernandes.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:28:y:2008:i:2:a:1511.

    Full description at Econpapers || Download paper

  36. Network analysis of exchange data: Interdependence drives crisis contagion. (2008). Gómez, David ; Ortega, Guillermo J..
    In: MPRA Paper.
    RePEc:pra:mprapa:7720.

    Full description at Econpapers || Download paper

  37. Testing the Hypothesis of Contagion using Multivariate Volatility Models. (2008). Valls Pereira, Pedro ; Marçal, Emerson ; Maral, Emerson F..
    In: MPRA Paper.
    RePEc:pra:mprapa:15623.

    Full description at Econpapers || Download paper

  38. TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE.. (2008). Valls Pereira, Pedro ; Marçal, Emerson ; Maral, Emerson F..
    In: MPRA Paper.
    RePEc:pra:mprapa:10356.

    Full description at Econpapers || Download paper

  39. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  40. Detecting shift and pure contagion in East Asian equity markets: A Unified Approach.. (2008). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1890208.pdf.

    Full description at Econpapers || Download paper

  41. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. (2008). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Beirne, John ; Schulze-Ghattas, Marianne.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/286.

    Full description at Econpapers || Download paper

  42. Is There Hedge Fund Contagion?. (2008). Stulz, René ; Boyson, Nicole ; Stahel, Christof.
    In: Working Papers.
    RePEc:ecl:upafin:08-2.

    Full description at Econpapers || Download paper

  43. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-8.

    Full description at Econpapers || Download paper

  44. International stock return comovements. (2008). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008931.

    Full description at Econpapers || Download paper

  45. The Post-Crisis Sequencing of Economic Integration in Asia: Trade as a Complement to a Monetary Future. (2007). Wignaraja, Ganeshan ; Plummer, Michael.
    In: Working Papers on Regional Economic Integration.
    RePEc:ris:adbrei:0009.

    Full description at Econpapers || Download paper

  46. Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach. (2007). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp236.

    Full description at Econpapers || Download paper

  47. Measuring financial market contagion using dually-traded stocks of Asian firms. (2007). Iwatsubo, Kentaro ; Inagaki, Kazuyuki.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:18:y:2007:i:1:p:217-236.

    Full description at Econpapers || Download paper

  48. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Pramor, Marcus ; Tamirisa, Natalia T.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2006/206.

    Full description at Econpapers || Download paper

  49. Sector diversification during crises: a European perspective. (2006). Szafarz, Ariane ; Beine, Michel ; Preumont, Pierre-Yves .
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:06-07rs.

    Full description at Econpapers || Download paper

  50. International Stock Return Comovements. (2006). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5955.

    Full description at Econpapers || Download paper

  51. International Stock Return Comovements. (2005). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11906.

    Full description at Econpapers || Download paper

  52. Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria ; Arestis, Philip.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:4:p:359-367.

    Full description at Econpapers || Download paper

  53. International Stock Return Comovements. (2005). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: Working Papers.
    RePEc:ecl:upafin:06-3.

    Full description at Econpapers || Download paper

  54. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

    Full description at Econpapers || Download paper

  55. Indicators of financial crises do work! An early-warning system for six Asian countries. (2004). Kuper, Gerard ; Jacobs, Jan.
    In: International Finance.
    RePEc:wpa:wuwpif:0409001.

    Full description at Econpapers || Download paper

  56. Econometric Issues in the Analysis of Contagion. (2004). Pesaran, Mohammad ; Pick, Andreas.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:67.

    Full description at Econpapers || Download paper

  57. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

    Full description at Econpapers || Download paper

  58. Econometric Issues in the Analysis of Contagion. (2004). Pesaran, Mohammad ; Pick, Andreas.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0402.

    Full description at Econpapers || Download paper

  59. Is gold a safe haven? International evidence. (). McDermott, Thomas ; Baur, Dirk.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp310.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by usersubmitted

  1. Allen, F. and Gale, D. (2000), âFinancial Contagion,â Journal of Political Economy, Vol.108, pp.1-33.
    Paper not yet in RePEc: Add citation now

  2. Bae, K.H, Karolyi, G.A. and Stulz, R.M. (2003), âA New Approach to Measuring Financial Contagion,â Review of Financial Studies, forthcoming.

  3. Baig, T. and Goldfajn, I. (1999), âFinancial Market Contagion in the Asian Crisis,â IMF Staï Papers, 46(2), pp. 167â195.

  4. Bayoumi, T., Fazio, G., Kumar, M., and MacDonald, R. (2003), âFatal Attraction: A New Measure of Contagion,â IMF Working Paper 03/80 (Washington: International Monetary Fund).

  5. Bekaert, G. and Hodrick, R. (1992) âCharacteristing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,â Journal of Finance, Vol. 47, pp. 467â509.

  6. Bekaert, G., Harvey, C.R. and Ng, A. (2003), âMarket Integration and Contagion,â Journal of Business, forthcoming.

  7. Bordo, M. and Eichengreen, B. (1999), âIs Our Current International Environment Unusually Crisis Prone?â in Gruen, D. (ed) Capital Flows and the International Financial System, Reserve Bank of Australia, Sydney, pp. 18â74.

  8. Boyer, B.H., Gibson, M.S. and Loretan, M. (1999), âPitfalls in Tests for Changes in Correlations,â Federal Reserve Board International Finance Division, Working Paper 597R.
    Paper not yet in RePEc: Add citation now
  9. Butler, K.C. and Joaquin, D.C. (2002), âAre the Gains from International Portfolio Diversiïcation Exaggerated? The Inïuence of Downside Risk in Bear Markets?â Journal of International Money and Finance, Vol. 21, pp. 981â1,011.
    Paper not yet in RePEc: Add citation now

  10. Calvo, S. and Mendoza, E. (2000), âRational Contagion and the Globalization of Securities Markets,â Journal of International Economics, Vol. 51, pp. 79â113.

  11. Calvo, S. and Reinhart, C. (1995), âCapital Inïows to Latin America: Is there Evidence of Contagion Effects?â World Bank and International Monetary Fund, unpublished.

  12. Caporale, G.M., Cipollini, A. and Spagnolo, N. (2002), âTesting for Contagion: A Conditional Correlation Analysis,â South Bank University Centre for Monetary and Financial Economics, Discussion Paper 01-2002.

  13. Chernov, M.E., Gallant, R.A., Ghysels, E. and Tauchen, G. (2003), âAlternative Models for Stock Price Dynamics,â Journal of Econometrics, forthcoming.

  14. Chue, T.K. (2002), âTime Varying Risk Preferences and Emerging Market Covariances,â Journal of International Money and Finance, Vol. 21, pp. 1,053â1,072.
    Paper not yet in RePEc: Add citation now

  15. Corsetti, G., Pericoli, M. and Sbracia, M. (2001), âCorrelation Analysis of Financial Contagion: What one Should Know Before Running a Test,â unpublished, University of Rome III.

  16. Diebold, F.X. and Nerlove, M. (1989), âThe Dynamics of Exchange Rate Volatility: A Multivariate Latent-Factor ARCH Model,â Journal of Applied Econometrics, 4, 1-22.

  17. Dornbusch, R., Park, Y.C. and Claessens, S. (2000), âContagion: Understanding How it Spreads,â The World Bank Research Observer, Vol.15(2), pp. 177â97.

  18. Dungey, M. and Martin, V.L. (2001), âContagion Across Financial Markets: An Empirical Assessment,â New York Stock Exchange Conference Paper, February 16â17, 2001, Hawaii.
    Paper not yet in RePEc: Add citation now

  19. Dungey, M. and Zhumabekova, D. (2001), âTesting for Contagion Using Correlations: Some Words of Caution,â Federal Reserve Bank of San Francisco, Paciïc Basin Working Paper PB01-09.

  20. Dungey, M., Fry, R.A., and Martin, V.L. (2003), âEquity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?â Australian Journal of Management, 28(2), pp. 157â182.

  21. Dungey, M., Fry, R.A., GonzÃlez-Hermosillo, B. and Martin, V.L. (2002a), âInternational Contagion Effects from the Russian Crisis and the LTCM Near-Collapse,â IMF Working Paper 02/74 (Washington: International Monetary Fund)..

  22. Durbin, J.M. (1954), âErrors in Variables,â Review of the International Statistical Institute, Vol. 22, pp. 23â32.
    Paper not yet in RePEc: Add citation now
  23. Eichengreen, B., Rose, A.K. and Wyplosz, C. (1995), âExchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks,â Economic Policy, Vol. 21, pp. 249â312.
    Paper not yet in RePEc: Add citation now

  24. Engle R.F., Ito, T. and Lin, W. (1990), âMeteor Showers or Heat Waves? Heteroscedastic Intra-Daily Volatility in the Foreign Exchange Market,â Econometrica, Vol. 58, pp. 525-542.

  25. Engle, R.F. and Kroner, K.F. (1995),âMultivariate Simultaneous Generalized ARCH,â Econometric Theory, Vol. 11(1), pp. 22â50.

  26. Fang, W. and Miller, S. (2002), âDynamic Effects of Currency Depreciation on Stock Market Returns During the Asian Financial Crisis,â unpublished, Feng Chai University, Taiwan.

  27. Favero, C.A. and Giavazzi, F. (2002), âIs the International Propagation of Financial Shocks Non Linear? Evidence from the ERM,â Journal of International Economics , Vol. 57(1), pp. 231â246.

  28. Flood, R. and Marion, N. (1998), âPerspectives on the Recent Currency Crisis Literature,â NBER Working Paper 6380.

  29. Flood, R. and Rose, A.K. (2003), âEquity Integration in Times of Crisis,â unpublished.
    Paper not yet in RePEc: Add citation now

  30. Forbes, K. and Rigobon, R. (2002), âNo Contagion, Only Interdependence: Measuring Stock Market Co-movements,â Journal of Finance, Vol. 57 (5), pp. 2,223â2,261.

  31. Glick, R. and Rose, A.K. (1999), âContagion and Trade: Why are Currency Crises Regional?â Journal of International Money and Finance, Vol. 18(4), pp. 603â17.

  32. Granger, C., Huang, B. and Yang, C. (2000), âBivariate Causality Between Stock Prices and Exchange Rates in Asian Countries,â The Quarterly Review of Economics and Finance, Vol. 40, pp. 337â54.
    Paper not yet in RePEc: Add citation now

  33. Grubel, H.G. and Fadner R. (1971), âThe Interdependence of International Equity Markets,â Journal of Finance, Vol. 26, pp. 89â94.

  34. Hamilton, J.D. (1994), Time Series Analysis, Princeton New Jersey, Princeton University Press.
    Paper not yet in RePEc: Add citation now

  35. International Economics, Vol. 51(1), pp. 145â68. âââââââ (2001), âFinancial Markets in Times of Stress,â NBER Working Paper 8569.

  36. Jeanne, O. and Masson, P. (2000), âCurrency Crises, Sunspots and Markov-Switching Regimes,â Journal of International Economics, Vol. 50(2), pp. 327â50.

  37. Kaminsky G and C M Reinhart (2002) “Financial Markets in Times of Stress,” Journal of Development Economics, Vol. 69 No. 2, December, 451-470.

  38. Kaminsky, G.L. and Reinhart, C.M. (1999), âThe Twin Crises: The Causes of Banking and Balance of Payments Problems,â American Economic Review, Vol. 89(3), pp. 473â500.

  39. Kaminsky, G.L. and Schmukler, S.L. (1999), âWhat Triggers Market Jitters? A Chronicle of the Asian Crisis,â Journal of International Money and Finance, Vol. 18, pp. 537â60.

  40. Kaminsky, Graciela L. and Carmen M. Reinhart ,“On Crises, Contagion, and Confusion,” Journal of International Economics, Vol. 51 No. 1, June 2000, 145-168.

  41. Kendall, M. and Stuart, A. (1969), The Advanced Theory of Statistics, Charles Grifïn and Co., London.
    Paper not yet in RePEc: Add citation now

  42. King, M. and Wadhwani, S. (1990), âTransmission of Volatility Between Stock Markets,â Review of Financial Studies, Vol. 3 (1), pp. 5â33.

  43. Kiyotaki, N. and Moore, J. (2002), âBalance-Sheet Contagion,â American Economic Review Papers and Proceedings, Vol. 92 (2), pp. 46â50.

  44. Kodres, L.E. and Pritsker, M. (2002), âA Rational Expectations Model of Financial Contagion,â Journal of Finance, Vol. 57 (2), pp. 768â99.

  45. Kyle, A. and Xiong W. (2001), âContagion as a Wealth Effect,â Journal of Finance, Vol. 56(4), pp. 1,401â1,440.

  46. Lim, G.C. and Martin, V.L. (1999), âForecasting Large Changes in Exchange Rates,â Economic Forecasting Techniques, eds. Abelson. P. and Joyeaux, R., Allen and Unwin.
    Paper not yet in RePEc: Add citation now
  47. Loretan, M., and English, W. (2000), âEvaluating âCorrelation Breakdownsâ During Periods of Market Volatility,â Board of Governors of the Federal Reserve System, International Finance Discussion Paper No. 658.
    Paper not yet in RePEc: Add citation now
  48. Lowell, J., Neu, C.R. and Tong, D. (1998), âFinancial Crises and Contagion in Emerging Market Countries,â Monograph, RAND.
    Paper not yet in RePEc: Add citation now

  49. Mahieu, R. and Schotman, P. (1994), âNeglected Common Factors in Exchange Rate Volatility,â Journal of Empirical Finance, Vol. 1, pp. 279â311.

  50. Malliaroupulos, D. (1997), âA Multivariate GARCH Model of Risk Premia in Foreign Exchange Markets,â Economic Modelling, Vol. 14, pp. 61â79.

  51. Masson, P. (1999a), âContagion: Macroeconomic Models with Multiple Equilibria,â Journal of International Money and Finance, Vol. 18, pp. 587â602.

  52. McKibbin, W. and Martin, W. (1998), âThe East Asian Crisis: Investigating Causes and Policy Responses,â Australian National University Working Paper in Trade and Development, 98/6.

  53. Mody, A. and Taylor, M.P. (2003), âCommon Vulnerabilities,â University of Warwick, unpublished.

  54. More Pitfalls in Testing for Contagion,â unpublished, University of Rome III. Dasgupta, A. (2000), âRegionality Revisited: An Examination of the Direction of Spread of Currency Crises,â unpublished, London School of Economics.
    Paper not yet in RePEc: Add citation now

  55. Paper 00/160 (Washington: International Monetary Fund). Baur, D. and Schulze, D. (2002), âCoexceedances in Financial Markets - A Quantile Regression Analysis of Contagion,â unpublished, University of Tuebingen.

  56. Pericoli, M. and Sbracia, M. (2001), âA Primer on Financial Contagion,â Banca DâItalia Temi di Discussione 407.

  57. Pesaran, H. and Pick, A. (2003), âEconometric Issues in the Analysis of Contagion,â unpublished, University of Cambridge.

  58. Rigobon, R. (2002), âThe Curse of Non-Investment Grade Countries,â Journal of Development Economics, Vol. 69, pp. 423â49.

  59. Solnik, B.H. (1974), âAn Equilibrium Model of the International Capital Market,â Journal of Economic Theory, Vol. 8, pp. 500â24.

  60. Toyoda, T. and Ohani, K. (1986), âTesting Equality Between Sets of Coefïcients after a Preliminary Test for Equality of Disturbance Variances in Two Linear Regressions,â Journal of Econometrics, Vol. 31, pp. 67â80.

  61. Transmission Stable?â Journal of International Economics, forthcoming. Sharpe, W. (1964), âCapital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,â Journal of Finance, Vol. 19, pp. 425â42.

  62. Turmoil,â GWU, unpublished. Karoyli, A. and Stulz, R. (1996), âWhy do Markets Move Together? An Investigation of U.S. - Japan Stock Return Co-movements,â Journal of Finance, Vol. 51 (3), pp. 951â86.

  63. Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis,â forthcoming, Journal of Emerging Markets Finance. âââââââ and Pagan, A.R. (2000), âA Multivariate Latent Factor Decomposition of International Bond Yield Spreads,â Journal of Applied Econometrics, Vol. 15, pp. 697â715.

  64. Van Rijikghem, C.V. and Weder, B. (2001), âSources of Contagion: Is it Finance or Trade?â Journal of International Economics, Vol. 54, pp. 293â300.

  65. Wald, A. (1940), âThe Fitting of Straight Lines if Both Variables are Subject to Error,â Annals of Mathematical Statistics, Vol. 11, pp. 284â300.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik.
    In: MPRA Paper.
    RePEc:pra:mprapa:106684.

    Full description at Econpapers || Download paper

  2. US Crashes of 2008 and 1929 How did the French market react? An empirical study.. (2016). Hekimian, Raphael ; le Bris, David.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2016-21.

    Full description at Econpapers || Download paper

  3. “Causality and Contagion in EMU Sovereign Debt Markets”. (2014). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201403.

    Full description at Econpapers || Download paper

  4. News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector. (2014). Burns, Natasha ; Williams, Michael ; Bhanot, Karan ; Hunter, Delroy.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:51-63.

    Full description at Econpapers || Download paper

  5. History of Credit Crisis as a Mirror: An International Perspective on the Impact of the Sub-Prime Crisis on the Performance of Investment and Commercial Banks. (2013). Lu, Yang-Cheng ; Chang, Shu-Lien ; Fang, Hao.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:67-81.

    Full description at Econpapers || Download paper

  6. Liquidity Shocks and Hedge Fund Contagion. (2011). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-12.

    Full description at Econpapers || Download paper

  7. The contagion effect: evidences from former Soviet Economies in Eastern Europe. (2010). KORKMAZ, Abdurrahman ; Insel, Aysu.
    In: MPRA Paper.
    RePEc:pra:mprapa:24999.

    Full description at Econpapers || Download paper

  8. Sovereign Credit Ratings, Transparency and International Portfolio Flows. (2010). Parsley, David ; Gande, Amar.
    In: MPRA Paper.
    RePEc:pra:mprapa:21118.

    Full description at Econpapers || Download paper

  9. CONTAGION OF FINANCIAL CRISES WITH SPECIAL EMPHASIS ON CEE ECONOMIES: A METAANALYSIS. (2010). PAAS, TIIU ; Kuusk, Andres .
    In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series.
    RePEc:mtk:febawb:66.

    Full description at Econpapers || Download paper

  10. Exchange Rate Flexibility across Financial Crises. (2010). Mignon, Valérie ; COUHARDE, Cécile ; Coudert, Virginie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00845254.

    Full description at Econpapers || Download paper

  11. Failing and Merging as Competing Alternatives during Times of Financial Distress: Evidence from the Colombian Financial Crisis. (2010). Mendoza, juan ; Gomez-Gonzalez, Jose.
    In: Borradores de Economia.
    RePEc:col:000094:006726.

    Full description at Econpapers || Download paper

  12. Failing and Merging as Competing Alternatives during Times of Financial Distress: Evidence from the Colombian Financial Crisis. (2010). Mendoza, juan ; Gomez-Gonzalez, Jose.
    In: Borradores de Economia.
    RePEc:bdr:borrec:588.

    Full description at Econpapers || Download paper

  13. Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets. (2009). Zhang, Xiaojing ; Sun, Tao.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/166.

    Full description at Econpapers || Download paper

  14. Time-varying correlations and optimal allocation in emerging market equities for the US investors. (2009). Jithendranathan, Thadavillil ; Cha, Heung-Joo .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:2:p:172-187.

    Full description at Econpapers || Download paper

  15. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; McKenzie, Michael ; Dungey, Mardi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

    Full description at Econpapers || Download paper

  16. Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements. (2009). Rahman, Dima.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-34.

    Full description at Econpapers || Download paper

  17. Measuring Stock Market Contagion with an Application to the Sub-prime Crisis. (2009). Mierau, Jochen.
    In: Working Papers.
    RePEc:dnb:dnbwpp:217.

    Full description at Econpapers || Download paper

  18. The Dark Side of Global Integration: Increasing Tail Dependence. (2009). Vermeulen, Robert ; Cosma, Antonio ; Beine, Michel ; antonio. cosma@uni. lu, .
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:09-05.

    Full description at Econpapers || Download paper

  19. The center and the periphery: The globalization of financial turmoil. (2008). Reinhart, Carmen ; Kaminsky, Graciela.
    In: MPRA Paper.
    RePEc:pra:mprapa:14100.

    Full description at Econpapers || Download paper

  20. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  21. The Dark Side of Global Integration: Increasing Tail Dependence. (2008). Vermeulen, Robert ; Cosma, Antonio ; Beine, Michel ; Antonio, Cosma ; Michel, Beine.
    In: DEM Discussion Paper Series.
    RePEc:luc:wpaper:08-03.

    Full description at Econpapers || Download paper

  22. Extreme US stock market fluctuations in the wake of 9|11. (2008). Wolff, Christian ; Verschoor, Willem ; Straetmans, Stefan ; W. F. C. Verschoor, ; S. T. M. Straetmans, ; C. C. P. Wolff, .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:1:p:17-42.

    Full description at Econpapers || Download paper

  23. How Bad Must Conditions Be To Make Investors Flee?. (2008). Baur, Dirk.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp246.

    Full description at Econpapers || Download paper

  24. Contagion effects of the US Subprime Crisis on Developed Countries. (2008). Vieira, Isabel ; Horta, Paulo ; Mendes, Carlos .
    In: CEFAGE-UE Working Papers.
    RePEc:cfe:wpcefa:2008_08.

    Full description at Econpapers || Download paper

  25. Correlation dynamics between Asia-Pacific, EU and US stock returns. (2007). Hyde, Stuart ; Bredin, Don ; Nguyen, Nghia.
    In: MPRA Paper.
    RePEc:pra:mprapa:9681.

    Full description at Econpapers || Download paper

  26. Banking System Stability. A Cross-Atlantic Perspective. (2007). Straetmans, Stefan ; Hartmann, Philipp ; de Vries, Casper.
    In: NBER Chapters.
    RePEc:nbr:nberch:9609.

    Full description at Econpapers || Download paper

  27. Model-free evaluation of directional predictability in foreign exchange markets. (2007). Hong, Yongmiao ; Chung, Jaehun .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:5:p:855-889.

    Full description at Econpapers || Download paper

  28. Unravelling financial market linkages during crises. (2007). Martin, Vance.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:1:p:89-119.

    Full description at Econpapers || Download paper

  29. Financial contagion and tests using instrumental variables. (2007). Pick, Andreas.
    In: Working Papers.
    RePEc:dnb:dnbwpp:139.

    Full description at Econpapers || Download paper

  30. Identification and Estimation in an Incoherent Model of Contagion. (2007). Massacci, D..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0744.

    Full description at Econpapers || Download paper

  31. Extreme Coexceedances in New EU Member States’ Stock Markets. (2007). Ranaldo, Angelo ; Christiansen, Charlotte.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-34.

    Full description at Econpapers || Download paper

  32. Is There Hedge Fund Contagion?. (2006). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12090.

    Full description at Econpapers || Download paper

  33. The day-of-the-week effect in conditional correlation. (2006). Chandra, Mahendra.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:27:y:2006:i:3:p:297-310.

    Full description at Econpapers || Download paper

  34. A Web Of Shocks: Crises Across Asian Real Estate Markets. (2006). Fry-McKibbin, Renee ; Bond, Shaun.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:32:y:2006:i:3:p:253-274.

    Full description at Econpapers || Download paper

  35. Systemic Risk in the Dutch Financial Sector. (2006). .
    In: De Economist.
    RePEc:kap:decono:v:154:y:2006:i:2:p:177-195.

    Full description at Econpapers || Download paper

  36. Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa. (2006). lucey, brian ; Lagoarde-Segot, Thomas ; Lagoarde-Ségot, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp114.

    Full description at Econpapers || Download paper

  37. Cross-border bank contagion in Europe. (2006). Gropp, Reint ; lo Duca, Marco ; Vesala, Jukka.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006662.

    Full description at Econpapers || Download paper

  38. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

    Full description at Econpapers || Download paper

  39. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5598.

    Full description at Econpapers || Download paper

  40. Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets. (2005). Lizieri, Colin ; Satchell, Stephen.
    In: Real Estate & Planning Working Papers.
    RePEc:rdg:repxwp:rep-wp2005-16.

    Full description at Econpapers || Download paper

  41. Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations. (2005). Krahnen, Jan ; Franke, Günter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11741.

    Full description at Econpapers || Download paper

  42. Banking System Stability: A Cross-Atlantic Perspective. (2005). Straetmans, Stefan ; Hartmann, Philipp ; de Vries, Casper.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11698.

    Full description at Econpapers || Download paper

  43. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11166.

    Full description at Econpapers || Download paper

  44. Banking system stability: a cross-Atlantic perspective. (2005). Hartmann, Philipp ; de Vries, Casper ; Straetmans, Stefan.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005527.

    Full description at Econpapers || Download paper

  45. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005452.

    Full description at Econpapers || Download paper

  46. European stock market dependencies when price changes are unusually large. (2004). Schich, Sebastian.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:3:p:165-177.

    Full description at Econpapers || Download paper

  47. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

    Full description at Econpapers || Download paper

  48. Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note.. (2004). Duck, Nigel W. ; Acker, Daniella.
    In: Bristol Economics Discussion Papers.
    RePEc:bri:uobdis:04/557.

    Full description at Econpapers || Download paper

  49. Measurement of contagion in banks equity prices. (2003). Gropp, Reint ; Moerman, Gerard .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003297.

    Full description at Econpapers || Download paper

  50. Are Financial Assets Priced Locally or Globally?. (2002). Stulz, René ; Karolyi, G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8994.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-20 20:14:09 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.