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 â …

crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of "no contagion, only interdependence". Especially for European countries we would instead …

of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding … into account, we find no evidence of contagion anymore. …

This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk …-at-Risk and conditional tail expectation. Consequently, an appropriate measurement of the contagion has a tremendous effect on the …

crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …

We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods …-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm …

contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into …

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