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Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis
Ehrmann, Michael; Fratzscher, Marcel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …
Persistent link: https://www.econbiz.de/10011273259
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Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data
Kollias, Christos; Papadamou, Stephanos; Siriopoulos, Costas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being …
Persistent link: https://www.econbiz.de/10010553342
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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Beirne, John; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …
Persistent link: https://www.econbiz.de/10004963766
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Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis
Beirne, John; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10008461819