This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …

The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …

This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the …

used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean …

of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding … into account, we find no evidence of contagion anymore. …

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a …

correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross … capacity to trigger contagion than core EU countries. Besides, Portugal is the most vulnerable country in the sample, whereas …