, over and above that induced by correlation between payoffs, giving the appearance of ``contagion.'' …

, over and above that induced by correlation between payoffs, giving the appearance of 'contagion.' …

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained … contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms. …

contagion effect coming from the sovereign risk, the ban helped stabilise the probability of default of medium-sized banks, an …

' banks in the Peripheral countries' financial assets. In order to endogenize the possibility of contagion effects, we conduct … competitiveness seem to originate the exceptional increases in sovereign spreads of the Periphery, through a contagion effect which is …

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal … contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of … California. Analysis of contagion among California markets indicates that house price returns in San Francisco often led those of …

thereafter. We find evidence of contagion effects, particularly among EMU periphery countries. The EMU debt crisis is divided … into an early and current crisis period. Unlike the former where contagion was mainly originating from Greece, the latter … involves multiple sources of contagion. Finally, the escalation of the Greek debt crisis since November 2009 is due to an …

aftermath of global financial crisis (2008-2009), exert contagion effects on emerging equity and sovereign bond markets. To this … estimated DCC immediately after the Lehman Brothers failure in September 2008. We refer this finding as contagion from U …