Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the … the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian … countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six …

The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock … to measure contagion. The paper argues that if the data suffers from heteroskedasticity (conditional or not), omitted …

, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese … spillover and contagion effects from and across the financial markets as well. Posterior estimates show that the behavior of the … to turbulent regimes. Invariably, this validates the expectation that contagion is transmitted from the stronger markets …