This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

(i.e. tests for shift-contagion) relative to a wide group of other emerging countries for the period 2002:01-2011:10. The … shift contagion tests indicate that the adverse effects of the crisis episodes on Turkish financial markets have been … similar to other emerging markets in Europe, Asia, and Latin America. This result is common across all country groups and …

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 …

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

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 examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity …