Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme subsamples for comparing market relationships in the construction of contagion tests. Our original approach is useful …

transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …