This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

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 …

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

Local correlation is used to examine financial contagion. We share the view of previous research that there is … contagion from the U.S. spot equity market to that of Germany and Britain. In addition, we provide evidence to suggest contagion … from the U.S. spot equity market to that of Japan and Hong Kong. Furthermore, we have detected contagion from U.S. futures …

correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in …

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The … volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t …