Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that … changes in the interaction between volatility and average returns across asset markets. These additional contagion channels …

of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding … into account, we find no evidence of contagion anymore. …

The copula function defines the degree of dependence and the structure of dependence. This paper proposes an … alternative framework to decompose the dependence using quantile regression. We demonstrate that the methodology provides a … detailed picture of dependence including asymmetric and non-linear relationships. In addition, changes in the degree or …

October 2009 and July 2012. Channels of shock transmission from or to sovereigns and banks are summarized in a Contagion Index … sovereigns. We also highlight the impact of policy-related events on the Contagion Index. …

possibility of contagion are affected by anticipation of bail-out policy, capital requirements and the joint exposure. We identify … a range of factors that strengthen or weaken the possibility of contagion and bailout. Recapitalization with common … to hold capital to cope with potential contagion. Increasing the minimum regulatory capital does not necessarily reduce …

financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …

extreme market events such as the recent financial crisis and provide evidence of volatility contagion across markets. …

This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We … define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by … contagion by analyzing bank-specific as well as country-specific variables and their interaction. Using the EBA’s disclosure of …