This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

During world financial crises in 1994 and 1998, most Latin American countries suffered severe contagion. But from the crisis of 2001 onward the amounts of contagion those countries suffered was less. This paper is a preliminary discussion of how several Latin American countries protected...

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...