This study examines evidence of contagion in global REITs returns over 2006–2010 using daily REITs indices for 16 … global REITs returns with univariate country-specific value-at-risks and multivariate between-country contagion. Applying the … iterated cumulative sums of squares to test the timing of market panics, we find significant evidence of contagion in global …

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

. It is necessary to analyze the contagion of losses among banks, especially the equilibrium of joint defaults and recovery … are modified by adding a premium to capture the contagion effects. …

2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call …

We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European … contagion appetite to European Monetary Union countries, which are prone to contagion, some because of their excessive … portfolios; but not an overall contagion effect from the crisis country to all others. …

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Belgium, Italy and Spain being key markets during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. …