developed and emerging economies during the recent sovereign debt crisis. Interdependence and contagion are found on the market … comes from spillovers, (iii) there is a significant time-variation in spillovers, with contagion from distressed countries …

explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

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

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 …