The existing literature suggests a number of alternative methods to test for the presence of contagion during financial …

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 …

multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises … important across all crises. However, the strength of these linkages does vary across crises. Contagion channels are widespread … transmission of contagion becomes rampant. …

global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A … for all countries, while there is little evidence of contagion risk. …

application to measure the contribution of contagion to the volatilities of exchange rates during the East Asian currency crisis …. The empirical results show evidence of significant contagion. The contribution of contagion is estimated at 9 per cent of …

within the framework of a latent factor model. Transmission mechanisms arising from both market interdependence and contagion … by interdependent linkages arising from common systemic factors. There is little significant evidence of contagion …

Detecting contagion during financial crises requires demarcation of crisis periods. This paper presents a method for … endogenous dating of both the start and finish of crises, coupled with the statistical detection of contagion effects. We couple … crisis, and particularly contagion from equity markets to REITS. The post-crisis period has not returned to pre …

We examine whether contagion tests are affected by controls for volatility clustering and the collection of …

Detecting contagion during financial crises requires demarcation of crisis periods. This paper presents a method for … endogeneous dating of both the start and finish of crises, coupled with the statistical detection of contagion effects. We couple … crisis, and particularly contagion from equity markets to REITS. The post-crisis period has not returned to pre …