This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and … public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by …

computational techniques with a particular focus on Russia and the Commonwealth of Independent States. The response was beyond …

In this paper, we aim at the study of the contagion of the global financial crisis (2007-2009) on Moroccan stock market …. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis …. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns …

debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is …This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty … tested using multivariate volatility models. It’s considered evidence in favor of ‘contagion’ hypothesis if there is …

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises … that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used … to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence …