The paper applies non-parametric methods of Chi-plots and Kendall (K)-plots and three different copula functions to empirically examine the tail dependence between the U.S. stock market and stock markets in Vietnam and China in order to test contagion effect after the U.S. subprime mortgage...

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...