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The contagion effects of sovereign downgrades : evidence from the European financial crisis
Corbet, Shaen - In: International journal of economics and financial issues … 4 (2014) 1, pp. 83-92
Persistent link: https://www.econbiz.de/10010519727
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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Quantile coherency networks of international stock markets
Baumöhl, Eduard; Shahzad, Syed Jawad Hussain - 2019
and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …
Persistent link: https://www.econbiz.de/10012124708
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Sovereign risk contagion in the Eurozone : a time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010222446
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Networks of Volatility Spillovers among Stock Markets
Baumöhl, Eduard; Kocenda, Ev en; Lyócsa, Stefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011657197
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Quantile coherency networks of international stock markets
Baumöhl, Eduard; Shahzad, Syed Jawad Hussain - 2019
and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …
Persistent link: https://www.econbiz.de/10011986864
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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010327794
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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Ludwig, Alexander - Fakultät Wirtschaftswissenschaften, Technische … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010956996
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THE THEORY OF INTERNATIONAL FINANCIAL CONTAGION
LUPU, Iulia - In: Studii Financiare (Financial Studies) 16 (2012) 4, pp. 35-42
Financial contagion is a complex and multivariate process, with no widely accepted definition and an accurate … measurement methodology. Contagion became more and more the central idea of research studies because it is perceived as a problem … this article we intend to present the ways in which the subject of international financial contagion was approached. …
Persistent link: https://www.econbiz.de/10010836982
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Sovereign risk contagion in the Eurozone: a time-varying coefficient approach
Ludwig, Alexander - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10011107941