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 …

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 …

Financial contagion is a complex and multivariate process, with no widely accepted definition and an accurate … measurement methodology. Contagion became more and more the central idea of research studies because it is perceived as a problem … this article we intend to present the ways in which the subject of international financial contagion was approached. …

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

Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …

financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …

Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …

developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during …The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …

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 …