This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

A new test for financial market contagion based on increases in extremal dependence (co-kurtosis and co-volatility) is developed to identify the propagation mechanism of shocks across international financial markets. This new approach is applied to test for contagion in equity markets and...