assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the … crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …) ; volatility spillovers ; interdependence ; contagion ; VAR-GARCH-in-mean model … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …