instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the … global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in … the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian …

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial … apply dynamic conditional correlation models (DCC-GARCH(1,1)) to daily stock-index returns of eight Asian stock markets, six … Latin American stock markets and US stock market. Defining contagion as a significant increase of dynamic conditional …