sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last … research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by … towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate …

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …

and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …