Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom … as an econometrics explanation and on the other hand the behavioral finance as an psychological explanation. Contagion is …. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of …

This paper develops a methodology for detecting and measuring contagion using high frequency data which disentangles … debate by considering the time-varying evidence for contagion at both the firm level and the sectorial level impacts. A … number of insurance companies exhibits bank-like characteristics. Our evidence for contagion effects from banks to the real …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion … find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities …This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the …

contagion, triggered by the change in the creditworthiness of a network member. I further extend the model to analyse not only … negative, but also positive credit risk spillovers …

Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and … a bivariate DCC-GARCH model, we show significant volatility spillover effects. Moreover, we use the definition of … contagion as suggested by Forbes and Rigobon. They defined contagion as a significant increase in cross-market linkages after a …

markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion … effects between the markets for the period 2017-2019. Empirical results reveal contagion during the under investigation period … regarding the one sixvariate model, showing potential volatility transmission channels among the future markets. Findings have …

This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers … from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on …

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … policy on the US financial markets. We use realized volatility measures based on daily data covering the period from December … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …