We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis … procedure is preferable to the standard OLS estimation in the case of an international contagion study. …

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 …

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 …

European countries. The approach allows to distinguish two channels of contagion by identifying bailout and sovereign risk … generates a persistent decrease in the default risk of the US banking sector. The bank-sovereign risk contagion is stronger in …

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 …

We provide an empirical analysis of two important phenomena influencing the hedge fund industry—contagion and time …

We examine contagion and flight-to-quality phenomena implied by carry strategies. More specifically, we analyze …

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