interdependence and contagion are well identified across markets; but with slight differences. Both investors and policymakers can …

aftermath of global financial crisis (2008-2009), exert contagion effects on emerging equity and sovereign bond markets. To this … estimated DCC immediately after the Lehman Brothers failure in September 2008. We refer this finding as contagion from U …

benefit is low during contagion periods defined as a period when correlation of residuals from PC regression is significantly … different from zero. Nonetheless, an additional gain from diversification is greater during contagion periods than normal … periods. Bon ds provide the best hedge during contagion periods whereas stocks perform the best during normal periods. …

interdependence and contagion are well identified across markets; but with slight differences. Both investors and policymakers can …

Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …

seed group, imitative learning results in the overall adoption of cooperation — efficient contagion. Key to this result … seed group, the easier it is for efficient contagion to take place. We highlight the importance of cycles for efficient … contagion, and show that the presence of critical edges prevents it. We also find that networks organized as dense clusters …

This paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large … idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the … idiosyncratic volatility and that R&D increases the riskiness of the firm. …

volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online … significant determinant of the stock market illiquidity and volatility. Most importantly, this evidence is maintained even after …

This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried …