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Contagion: How to Measure It?. (2001). Rigobon, Roberto.
In: NBER Working Papers.
RePEc:nbr:nberwo:8118.

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  1. Systemic Sudden Stops in Emerging Economies: A Recent Perspective. (2022). Tunio, Mohsin Waheed.
    In: MPRA Paper.
    RePEc:pra:mprapa:113751.

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  2. Systemic Sudden Stops in Emerging Economies: A Recent Perspective. (2022). Tunio, Mohsin Waheed.
    In: MPRA Paper.
    RePEc:pra:mprapa:113693.

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  3. Analysis of financial contagion in influential African stock markets. (2021). Olaniran, Oladotun Daniel ; Aderajo, Oluwatosin Mary.
    In: Future Business Journal.
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  4. CROSS?SECTIONAL DEPENDENCE AND SPILLOVERS IN SPACE AND TIME: WHERE SPATIAL ECONOMETRICS AND GLOBAL VAR MODELS MEET. (2021). Elhorst, J.Paul ; Tereanu, Eugen ; Gross, Marco.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:35:y:2021:i:1:p:192-226.

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  5. Iluzii financiare, Partea întâi. (2020). Stefanescu, Rzvan ; Dumitriu, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:101201.

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  6. Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches. (2020). Lakhal, Faten ; Zorgati, Imen.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:92:y:2020:i:c:p:162-169.

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  7. Empirics of currency crises: A duration analysis approach. (2019). Voia, Marcel ; Karimi, Mohammad.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:37:y:2019:i:3:p:428-449.

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  8. Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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  9. How Important is the Contagion Effect for the Romanian Capital Market?. (2017). Enciu, Adrian ; armeanu, dan ; Cioaca, Sorin-Iulian.
    In: Economic Alternatives.
    RePEc:nwe:eajour:y:2017:i:2:p:265-282.

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  10. Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, Julien ; Piquard, T.
    In: Working papers.
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  11. The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets. (2016). Enciu, Adrian ; armeanu, dan ; Cioac, Sorin-Iulian ; Obreja, Carmen .
    In: REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT.
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  12. Measuring sovereign contagion in Europe. (2015). Rigobon, Roberto ; Ravazzolo, Francesco ; Pelizzon, Loriana ; Caporin, Massimiliano.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:103.

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  13. Network analysis of exchange data: interdependence drives crisis contagion. (2014). Gómez, David ; Ortega, Guillermo ; Matesanz, David.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:48:y:2014:i:4:p:1835-1851.

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  14. Monetary policy implications of housing shift-contagion across regional markets. (2014). Huang, Meichi.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:38:y:2014:i:4:p:589-608.

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  15. External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability. (2013). Unalmis, Ibrahim ; Sahin, Cem ; Ozen, Etkin .
    In: Central Bank Review.
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  16. Measuring Sovereign Contagion in Europe. (2013). Rigobon, Roberto ; Ravazzolo, Francesco ; Pelizzon, Loriana ; Caporin, Massimiliano.
    In: NBER Working Papers.
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  17. Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy. (2013). Roesch, Angi ; Schmidbauer, Harald ; Uluceviz, Erhan.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
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  18. Liquidity Contagion. The Emerging Sovereign Debt Markets example. (2013). Le Fol, Gaelle ; darolles, serge ; Dudek, Jeremy.
    In: Post-Print.
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  19. Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings. (2013). Valenzuela, Patricio ; Cowan, Kevin ; Borensztein, Eduardo.
    In: Journal of Banking & Finance.
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  20. Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings. (2013). Valenzuela, Patricio ; Cowan, Kevin ; Borensztein, Eduardo.
    In: Documentos de Trabajo.
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  21. Illiquidité, contagion et risque systémique. (2013). Le Fol, Gaelle ; Dudek, Jeremy.
    In: Economics Thesis from University Paris Dauphine.
    RePEc:dau:thesis:123456789/13236.

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  22. Liquidity Contagion. The Emerging Sovereign Debt Markets example. (2012). Le Fol, Gaelle ; darolles, serge ; Dudek, Jeremy.
    In: Post-Print.
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  23. The optimal size of the European Stability Mechanism: A cost-benefit analysis. (2012). Kapp, Daniel .
    In: DNB Working Papers.
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  24. Measuring Sovereign Contagion in Europe. (2012). Rigobon, Roberto ; Ravazzolo, Francesco ; Pelizzon, Loriana ; Caporin, Massimiliano.
    In: Working Papers.
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  25. Measuring sovereign contagion in Europe. (2012). Rigobon, Roberto ; Ravazzolo, Francesco ; Pelizzon, Loriana ; Caporin, Massimiliano.
    In: Working Paper.
    RePEc:bno:worpap:2012_05.

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  26. International propagation of shocks: an evaluation of contagion effects for some Latin American countries. (2011). Ramirez, Manuel ; Martínez, Constanza ; Martinez, Constanza.
    In: Macroeconomics and Finance in Emerging Market Economies.
    RePEc:taf:macfem:v:4:y:2011:i:2:p:213-233.

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  27. Empirics of Currency Crises: A Duration Analysis Approach. (2011). Voia, Marcel ; Karimi, Mohammad .
    In: Carleton Economic Papers.
    RePEc:car:carecp:11-11.

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  28. A network model of systemic risk: stress testing the banking system1. (2009). Jaramillo, Serafin Martinez ; Diez, Javier Marquez.
    In: Intelligent Systems in Accounting, Finance and Management.
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  29. Financial Integration of North Africa Stock Markets. (2009). Onour, Ibrahim.
    In: MPRA Paper.
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  30. The bigness of smallness: the financial crisis, its contagion mechanisms and its effects in Latin America. (2009). Perez Caldentey, Esteban ; Kardonsky, Daniel Titelman ; Salazar, Ramon Pineda .
    In: Revista CEPAL.
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  31. Financial Integration of North Africa Stock Markets. (2009). Onour, Ibrahim.
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  32. Imperfect Information and Contagion in Capital Markets. (2008). Dupuy, Philippe.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:7:y:2008:i:2:p:103-140.

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  33. Network analysis of exchange data: Interdependence drives crisis contagion. (2008). Gómez, David ; Ortega, Guillermo J..
    In: MPRA Paper.
    RePEc:pra:mprapa:7720.

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  34. Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration. (2008). Onour, Ibrahim.
    In: MPRA Paper.
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  35. International stock return comovements. (2008). Hodrick, Robert ; Bekaert, Geert ; Zhang, Xiaoyan.
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  36. Crisis-Robust Bond Portfolios. (2008). Szafarz, Ariane ; Briere, Marie.
    In: Economics Papers from University Paris Dauphine.
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  37. Flujos de capitales, restricciones de liquidez y paradas súbitas: lecciones de países emergentes. (2008). Vargas Perez, Andrés.
    In: COYUNTURA ECONÓMICA.
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  38. Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies. (2007). Valenzuela, Patricio ; Cowan, Kevin ; Borensztein, Eduardo.
    In: IMF Working Papers.
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  39. Deconstructing the Nasdaq bubble: A look at contagion across international stock markets. (2007). Strauss, Jack ; Hon, Mark ; Yong, Soo-Keong.
    In: Journal of International Financial Markets, Institutions and Money.
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  40. Identification and Estimation in an Incoherent Model of Contagion. (2007). Massacci, D..
    In: Cambridge Working Papers in Economics.
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  41. Detecting shift-contagion in currency and bond markets. (2006). Morley, James ; Gravelle, Toni ; Kichian, Maral.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:68:y:2006:i:2:p:409-423.

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  42. An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets. (2005). Pasquariello, Paolo ; Kallberg, Jarl G..
    In: The Journal of Business.
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  43. Labor Supply with Social Interactions: Econometric Estimates and Their Tax Policy Implications. (2005). Kniesner, Thomas ; Grodner, Andrew.
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  44. CEE Banking Sector Co-Movement: Contagion or Interdependence?. (2005). lucey, brian ; Jokipii, Terhi.
    In: The Institute for International Integration Studies Discussion Paper Series.
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  45. Financial contagion vulnerability and resistance: A comparison of European stock markets. (2005). Serwa, Dobromił ; Bohl, Martin T..
    In: Economic Systems.
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  46. La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?. (2005). Lahet, Delphine ; Brana, Sophie.
    In: Economie Internationale.
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  47. Spreads Soberanos: ¿Diferencian los Inversionistas Internacionales entre Economías Emergentes?. (2005). Jaque, Felipe ; Delano, Valentin.
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  48. CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS. (2004). Garcia Herrero, Alicia ; Diez de los Rios, Antonio.
    In: International Finance.
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  49. Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships. (2004). Rodrik, Dani ; Rigobon, Roberto.
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  50. External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR. (2004). Tillmann, Peter.
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  51. Contagion in Africa: South Africa and a troubled neighbour, Zimbabwe. (2004). Pretorius, Anmar ; de Beer, Jesse.
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  52. Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour. (2004). Taylor, Ashley ; Chui, Michael ; Hall, Simon .
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  53. Market Integration and Contagion. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
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  54. The Risk Tolerance of International Investors. (2003). Froot, Kenneth ; Paul G. J. O'Connell, .
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  55. An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory. (2003). Fukuhara, Masahiro ; Saruwatari, Yasufumi .
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  56. Testing for contagion in international financial markets: which way to go?. (2003). Waelti, Sébastien.
    In: IHEID Working Papers.
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  57. Contagion and interdependence among Central European economies: the impact of common external shocks. (2003). Waelti, Sébastien.
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  58. Contagion: an empirical test. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
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  59. Contagion and interdependence in stock markets: Have they been misdiagnosed?. (2003). Pelizzon, Loriana ; Billio, Monica.
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  60. On the measurement of the international propagation of shocks: is the transmission stable?. (2003). Rigobon, Roberto.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:61:y:2003:i:2:p:261-283.

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  61. Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

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  62. Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model. (2003). KAWAI, Masahiro ; Khalid, Ahmed M..
    In: Journal of Asian Economics.
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  63. Measuring contagion with a Bayesian, time-varying coefficient model. (2003). Rebucci, Alessandro ; Ciccarelli, Matteo.
    In: Working Paper Series.
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  64. Contagion and portfolio shift in emerging countries sovereign bonds. (2003). Garcia Herrero, Alicia ; Diez de los Rios, Antonio.
    In: Working Papers.
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  65. Why Should Emerging Economies Give up National Currencies: A Case for Institutions Substitution. (2002). Mendoza, Enrique.
    In: NBER Working Papers.
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  66. Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia. (2002). Ivaschenko, Iryna V ; Chan-Lau, Jorge A.
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  67. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse. (2002). Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda ; Martin, Vance.
    In: IMF Working Papers.
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  68. ¿Por qué deben las economías emergentes renunciar a su moneda nacional? El argumento a favor. (2002). Mendoza, Enrique.
    In: Research Department Publications.
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  69. Why Should Emerging Economies Give Up National Currencies? A Case for Institutions Substitution. (2002). Mendoza, Enrique.
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  70. The curse of non-investment grade countries. (2002). Rigobon, Roberto.
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  71. The IMF and East Asia: A Changing Regional Financial Architecture. (2002). de Brouwer, Gordon .
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  72. The Curse of Non-Investment Grade Countries. (2001). Rigobon, Roberto.
    In: NBER Working Papers.
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  40. Ronn, E. (1998). The impact of large changes in asset prices on intra-market correlations in the stock and bond markets. Mimeo.
    Paper not yet in RePEc: Add citation now

  41. Sentana, E. and Fiorentini, G. (1999). Identification, estimation and testing of conditional heteroskedastic factor models. CEMFI mimeo.

  42. Stulz, R. (1999). International portfolio flows and security markets. The Charles A. Dice Center for Reseach in Financial Economics, WP 99-3.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. What happens to EMEs when US yields go up?. (2023). Upper, Christian ; Caballero, Julian.
    In: BIS Working Papers.
    RePEc:bis:biswps:1081.

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  2. Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis. (2018). Pereira, Dirceu.
    In: Journal of Economics and Financial Analysis.
    RePEc:trp:01jefa:jefa0011.

    Full description at Econpapers || Download paper

  3. An analysis of contagion among Asian countries using the canonical model of contagion. (2013). Hotta, Luiz ; Ribeiro, Andre L. P., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:29:y:2013:i:c:p:62-69.

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  4. Financial Crisis and Domino Effect. (2012). Duarte, Antonio Portugal ; Bao, Pedro ; Domingues, Joo Maia .
    In: Book Chapters.
    RePEc:ibg:chaptr:msc-11.

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  5. Financial Crisis and Domino Effect. (2012). Portugal Duarte, António ; Bação, Pedro ; Domingues, Joo Maia ; Bao, Pedro.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2012-10.

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  6. Simulation methods to assess the danger of contagion in interbank markets. (2011). Upper, Christian.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:7:y:2011:i:3:p:111-125.

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  7. Evidence of interdependence and contagion using a frequency domain framework. (2009). Candelon, Bertrand ; Bodart, Vincent.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:10:y:2009:i:2:p:140-150.

    Full description at Econpapers || Download paper

  8. Dynamic distributions and changing copulas. (2008). Harvey, Andrew.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0839.

    Full description at Econpapers || Download paper

  9. Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-06.

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  10. Contagion and firmsinternationalization in Latin America : evidence from Mexico, Brazil, and Chile. (2006). Sakho, Yaye Seynabou .
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:4076.

    Full description at Econpapers || Download paper

  11. Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets. (2006). Wilson, Patrick ; Michayluk, David ; Zurbruegg, Ralf.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:34:y:2006:i:1:p:109-131.

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  12. Evidences of Interdependence and Contagion using a Frequency Domain Framework. (2005). Candelon, Bertrand ; Bodart, Vincent.
    In: Research Memorandum.
    RePEc:unm:umamet:2005024.

    Full description at Econpapers || Download paper

  13. Wealth Transfers, Contagion, and Portfolio Constraints. (2005). Rigobon, Roberto ; Pavlova, Anna.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11440.

    Full description at Econpapers || Download paper

  14. Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan. (2005). Kim, Suk-Joong.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:19:y:2005:i:3:p:338-365.

    Full description at Econpapers || Download paper

  15. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Gerard, Bruno ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

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  16. Wealth Transfers, Contagion and Portfolio Constraints. (2005). Rigobon, Roberto ; Pavlova, Anna.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5117.

    Full description at Econpapers || Download paper

  17. European stock market dependencies when price changes are unusually large. (2004). Schich, Sebastian.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:3:p:165-177.

    Full description at Econpapers || Download paper

  18. Contagion: evidence from international banking industry. (2004). Tai, Chu-Sheng .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:353-368.

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  19. Can bank be a source of contagion during the 1997 Asian crisis?. (2004). Tai, Chu-Sheng .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:2:p:399-421.

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  20. Looking for risk premium and contagion in Asia-Pacific foreign exchange markets. (2004). Tai, Chu-Sheng .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:13:y:2004:i:4:p:381-409.

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  21. The dynamic interrelationships between the greater China share markets. (2004). Wu, Yanrui ; Groenewold, Nicolaas ; Tang, Sam Hak Kan, .
    In: China Economic Review.
    RePEc:eee:chieco:v:15:y:2004:i:1:p:45-62.

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  22. Empirical Modelling of Contagion: A Review of Methodologies. (2004). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:574.

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  23. Empirical Modelling of Contagion: A Review of Methodologies. (2004). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda .
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:243.

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  24. The Center and the Periphery: The Globalization of Financial Turmoil. (2003). Reinhart, Carmen ; Kaminsky, Graciela.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9479.

    Full description at Econpapers || Download paper

  25. News Spillovers in the Sovereign Debt Market. (2003). Parsley, David ; Gande, Amar .
    In: Working Papers.
    RePEc:hkm:wpaper:062003.

    Full description at Econpapers || Download paper

  26. Extreme Contagion in Equity Markets. (2002). Mathieson, Donald J ; Chan-Lau, Jorge A ; Yao, James Y.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2002/098.

    Full description at Econpapers || Download paper

  27. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse. (2002). Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda ; Martin, Vance.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2002/074.

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  28. (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation. (2002). Patton, Andrew.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp431.

    Full description at Econpapers || Download paper

  29. On the out-of-sample importance of skewness and asymetric dependence for asset allocation. (2002). Patton, Andrew.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24951.

    Full description at Econpapers || Download paper

  30. Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets. (2002). Joaquin, D. C. ; Butler, K. C..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:21:y:2002:i:7:p:981-1011.

    Full description at Econpapers || Download paper

  31. Asymmetric correlations of equity portfolios. (2002). Ang, Andrew ; Andrew, Ang ; Joseph, Chen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:3:p:443-494.

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  32. East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis. (2002). Roll, Richard ; Chakrabarti, Rajesh.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:5:y:2002:i:1:p:1-30.

    Full description at Econpapers || Download paper

  33. Systemic Risk and International Portfolio Choice. (2002). Uppal, Raman ; Das, Sanjiv.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3305.

    Full description at Econpapers || Download paper

  34. Contagion: How to Measure It?. (2001). Rigobon, Roberto.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8118.

    Full description at Econpapers || Download paper

  35. Factor analysis of a model of stock market returns using simulation-based estimation techniques. (2001). Dungey, Mardi ; Zhumabekova, Diana.
    In: Pacific Basin Working Paper Series.
    RePEc:fip:fedfpb:2001-08.

    Full description at Econpapers || Download paper

  36. Estimation of Copula Models for Time Series of Possibly Different Length. (2001). Patton, Andrew.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt3fc1c8hw.

    Full description at Econpapers || Download paper

  37. Contagion as a Wealth Effect. (2001). Kyle, Albert.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:56:y:2001:i:4:p:1401-1440.

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  38. A Multivariate GARCH Model with Time-Varying correlations. (2000). Tsui, Albert ; Tse, Y. K. ; Albert K. C. Tsui, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0004010.

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  39. A Multivariate GARCH Model with Time-Varying Correlations. (2000). Tsui, Albert ; Tse, Y. K. ; Albert K. C. Tsui, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0004007.

    Full description at Econpapers || Download paper

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