This paper investigates the level and development of cross-country stock market dependence using daily returns on stock … modelling the dependence between markets using parametric families of copulas which offer various alternatives to the commonly … assumed normal dependence structure. Moreover, the dependence across stock markets is allowed to vary over time through a …

We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …

currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of … measure, we test for contagion and conclude that contagion only exists regionally. Furthermore, we construct a â …€œcross-market rebalancing variable based on the regional CPJF. By employing a probit model to compare our new variable with a regular contagion …

This paper considers empirical tests for the contagion of financial crises that address the endogeneity of contagion by … using instrumental variable estimation techniques. Two complications in the application to contagion are that the regression … model is potentially incoherent and that it contains a parameter that is not identified under the null of no contagion …

on reinsurance exposures, we perform a scenario analysis to measure contagion risks. Based on current exposures, we find …

This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our … measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot … evidence of contagion for the US, Germany and the UK. This result is stronger for the insurance sector than for the banking …

We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including … a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a … considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of …