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

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 …

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 …

experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …

experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …

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 …

benefit is low during contagion periods defined as a period when correlation of residuals from PC regression is significantly … different from zero. Nonetheless, an additional gain from diversification is greater during contagion periods than normal … periods. Bon ds provide the best hedge during contagion periods whereas stocks perform the best during normal periods. …

of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond …

incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of …