A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme subsamples for comparing market relationships in the construction of contagion tests. Our original approach is useful …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call …

aftermath of global financial crisis (2008-2009), exert contagion effects on emerging equity and sovereign bond markets. To this … estimated DCC immediately after the Lehman Brothers failure in September 2008. We refer this finding as contagion from U …

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest … Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the … Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods …

classes as the economy is at a bear state, can be classified as contagion. Firstly, I show that a two-state model, with …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â …

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis …