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An analysis of contagion among Asian countries using the canonical model of contagion
(Elsevier Science IncNew YorkEUA, 2013)
Does Financial Contagion Really Happen?
(Universidad del Zulia, 2020)
Testing the hypothesis of contagion using multivariate volatility models
(Sociedade Brasileira de Econometria, 2008-11-01)
The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...
Testing the hypothesis of contagion using multivariate volatility models
(2009-01-26)
The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
(2016-05-16)
Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model ...
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
(Elsevier B.V., 2019)
The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...
Testing the Hypothesis of Contagion Using Multivariate Volatility ModelsTesting the Hypothesis of Contagion Using Multivariate Volatility Models
(Sociedade Brasileira de Econometria, 2008)
Nonlinearities and financial contagion in Latin American stock markets
(Elsevier, 2015)
We use the Hinich (1996) portmanteau bicorrelation test to graphically represent nonlinear events detected in Latin American stock markets. We identity the starting, the ending, the intensity, and the persistence of nonlinear ...
International propagation of shocks: an evaluation of contagion effects for some Latin American countries
(Universidad del RosarioFacultad de Economía, 2009)
In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate ...