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 …

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 …

The main objective of this paper is to detect the existence of financial contagion between the North American and … by means of the dynamic conditional correlation model (DCC). Once the DCC is estimated, the contagion between both … related to uncertainty in the markets. The results show that there was contagion between the United States and European …

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

the Lehman Brothers in September 2008. We also test for the existence of contagion, and find no significant evidence of … contagion between equity markets in the US and the EMEAP region. On the other hand, intra-regional contagion is found to be more …