existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e …

, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse …

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets … exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric … correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond …

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 …

We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European … contagion appetite to European Monetary Union countries, which are prone to contagion, some because of their excessive … portfolios; but not an overall contagion effect from the crisis country to all others. …

This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007 …. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for … contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long …

sectors has brought up the co-movement and the contagion hypothesis,especially after the fall in new technology stock prices … work on contagion in the case of stock market indexes. …

This paper deals with the issues of identification and estimation in the canonical model of contagion advanced in …