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 …

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 …

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. …

This paper studies the problem of disentangling risk correlation and contagion in a set of individual binary processes … introducing a dynamic frailty, whereas the contagion passes through the effect of the lagged number of individuals in the bad risk … populations (portfolios). The difficulty to identify risk correlation and contagion in finite samples is illustrated by means of …

result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous … frailty and contagion phenomena, and test for the presence of such dependence effects, according to the age and management … style of the fund. We demonstrate the empirical relevance of our approach by measuring the magnitudes of contagion and …

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 …