14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial … importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial …

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …

methodology to estimate these two channels of spillovers. We first propose an index of a firm's sensitivity to consumer demand …

volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the …. The relative importance of the different risk factors changes substantially depending on the crisis episode. Contagion …

This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were … impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional …. The results also illustrated episodes of contagion in particular during the recent global financial crisis. The findings …