Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion effects. Identification is achieved by coupling smooth transition functions with structural...

We present a summary of current initiatives to climate change management including a review of existing carbon trading schemes and the economic arguments supporting those schemes. We also outline conditions under which the existing carbon market structures are optimal as well as those under...

About 99 percent of cryptocurrency trades occur on organised exchanges and many investors subsequently keep their digital assets in accounts with cryptocurrency markets. This generates exposure to the risk of exchange closures. We construct a database containing eight key characteristics on 238...

We test for price bubbles in fourteen national REIT markets and examine the extent of convergence toward a common trend between the REITs of these countries. Our methodology consists of the recently developed test of Phillips, Shi and Yu (2012) for mildly explosive processes, and the Phillips...

Using a framework similar to Bekeart, Harvey and Ng (2005), we investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia-Pacific. We also examine for contagion between twelve national REIT markets on the one...