This paper proposes a framework for modelling financial contagion that is based on SIR (Susceptible …-Infected-Recovered) transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a …

We examine the existence of stock market contagion effects among three groups of countries: the Euro … market data from January 2004 till March 2013, contagion effects for the tails of the marginal distributions are present for … Non-Euro and the Euro-core groups. We do not find a significant change in the contagion transmission mechanism when …

This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the …

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

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

political environment and is frequently associated with contagion risk and increased cross-market linkages. This phenomenon …