)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …

associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion … response functions are used. The occurrence of contagion is ratified by the results, starting from the terrorist attacks in the …

2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and …

This paper presents a model on contagion in nancial markets. We use a bank run framework as a mechanism to initiate a …

In this paper we test for contagion within the East Asian region, contagion being defined as a significant increase in … omitted variable respectively. The null of interdependence against the alternative of contagion is then tested as an over … corresponding to the beginning of the contagion period, and finally we impose more plausible restrictions in order to identify the …

Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …

failures. Investors forecast the likelihood of loss from contagion and may shift preemptively to safer portfolios, breaking …