financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …

Purpose – The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within … authors are interested in contagion between the considered markets during the 2007‐2009 GFC period in comparison to the entire …, Harvey and Ng, the paper defines contagion as excess comovement between two financial markets, after removing the effects of …

examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …