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

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

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 “wake-up call …

transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …

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

model of solvency contagion. Within an equilibrium model, we measure the contagion by identifying the direct effect of an …

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 …

oil–stock price relationship at different time scales, in revealing contagion and interdependence between oil and stock … gas company stock). At both levels, however, with the onset of the financial crisis we found evidence of contagion and …

October 2009 and July 2012. Channels of shock transmission from or to sovereigns and banks are summarized in a Contagion Index … sovereigns. We also highlight the impact of policy-related events on the Contagion Index. …

Scholars worldwide have provided both theoretical and empirical insights into financial market contagion. The …-GARCH) and vector error correction (VEC) models to address the multi-dimensional phenomena around financial market contagion. The … empirical results demonstrate the existence of contagion in the financial markets during the global crisis. However, the crisis …