In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock … dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion … the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion …

with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to … markets. We find empirical evidence of contagion effect and spillovers between stock market and foreign exchange market during …

expose these economies to financial contagion. This study models monthly interest-rate volatility for six African nations …

This paper develops a quantitative model of contagion of financial crisis and sovereign default for small open … explanation of the contagion of financial crises. The model shows that whenever a country suffers a domestic shock that forces it …, producing a contagion of the crisis in those countries whose fundamentals are not solid enough. Also, even when the crisis in a …