Diebold-Yilmaz volatility spillover index to measure the level of financial contagion. We provide robust evidence that during …The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by …. Variation in financial constraints connects Spillover Persistence to fragility. The results are consistent with the volatility …